Exchange rate pass-through and inflation targeting in Peru

Winkelried, Diego

doi:10.1007/s00181-013-0715-4

Cited by 27 publications

(22 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Carrière-Swallow et al 2016and Lopez-Villavicencio and Mignon (2016) identify strong links between the ERPT and the monetary policy regime's performance in delivering price stability in several emerging economies. This result is further corroborated by Kabundi and Mlachila (2018) for South Africa and by Winkelried (2014) for Peru. Looking at the Brazilian experience, Ferreira de Mendonça and Tostes (2014) find that not only monetary but also fiscal policy credibility matters for reducing the pass-through on inflation of market prices and inflation expectations.…”

Section: Relations With the Literaturesupporting

confidence: 66%

The portfolio theory of inflation and policy (in)effectiveness

Bossone¹

2019

Economics

View full text Add to dashboard Cite

The analysis of open macroeconomies typically assumes (implicitly or explicitly) that resource allocation decisions are taken by domestic agents. The Portfolio Theory of Inflation (PTI) developed in this study assumes that some critical allocation decisions are taken by global investors and investigates how such decisions affect the effectiveness of macroeconomic policy in open and highly financially integrated economies. The PTI adopts a modified version of the portfolio balance approach to exchange rate determination and incorporates optimal intertemporal choices from global investors who allocate resources internationally based, inter alia, on the perceived policy credibility of the national authorities and their policies. The PTI shows that when a country has low credibility and is heavily indebted, investors hold its economy to a tighter intertemporal budget constraint and policies aimed to stimulate output growth do in fact dissipate into currency depreciation and higher inflation, with limited or no impact on output. On the other hand, high credibility creates space for effective and non-inflationary macro policies with limited impact on nominal variables. JEL E31 E4 E5 E62 F31 G15 H3 Keywords Credibility; exchange rate; financial integration; global investor; interest rate; intertemporal budget constraint; money, bonds and assets; pass-through

show abstract

Section: Relations With the Literaturesupporting

confidence: 66%

The portfolio theory of inflation and policy (in)effectiveness

Bossone¹

2019

Economics

View full text Add to dashboard Cite

show abstract

“…PPI measures also usually do not include services which are an increasing share of exports and imports. (Patnaik et al, 2011;Winkelried, D. (2011)) each period. The long-run coefficient is -2.29, in line with the results of some of the other studies which compute the long run coefficient (for e.g., see Bhattacharya et al (2008), Pyne and Roy (2008)), which indicates that in the long run import prices rise by much more than the change in the exchange rate.…”

Section: Resultsmentioning

confidence: 97%

Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports?

Yanamandra

2015

Economic Analysis and Policy

View full text Add to dashboard Cite

“…The influence of the macroeconomic environment and of inflation stability on the observations of lower pass-through is also demonstrated by Winkelried (2014) in an empirical study for Peru.…”

Section: Introductionmentioning

confidence: 80%

Exchange Rate Pass-Through in Brazil: А Markov Switching DSGE Estimation for the Inflation Targeting Period

Marodin¹,

Portugal²

2019

RJMF

View full text Add to dashboard Cite

This paper investigates the nonlinearity of exchange rate passthrough in the Brazilian economy during the inflation targeting period (2000-2018) using a Markov Switching new Keynesian DSGE model. We find evidence of two distinct regimes for exchange rate passthrough and for the volatility of shocks to inflation. Under the so-called 'normal' regime, the long-run pass-through to consumer prices inflation is estimated as almost zero, only 0.00057 of a percentage point given a 1% exchange rate shock. In comprasion, the expected pass-through to inflation under a 'crisis' regime is 0.1035 of a percentage point, for the same exchange rate shock. These results allow us to identify four distinct cycles for exchange rate pass-through during the inflation targeting period in Brazil, and suggest that higher central bank credibility and anchored inflation expectations may be related to lower levels of pass-through.

show abstract

Exchange rate pass-through and inflation targeting in Peru

Cited by 27 publications

References 14 publications

The portfolio theory of inflation and policy (in)effectiveness

The portfolio theory of inflation and policy (in)effectiveness

Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports?

Exchange Rate Pass-Through in Brazil: А Markov Switching DSGE Estimation for the Inflation Targeting Period

Contact Info

Product

Resources

About