Exchange rate pass-through to prices: var evidence for Chile

Authors

  • Andrés Sansone
  • Santiago Justel

Abstract

This paper investigates the exchange rate pass-through to different price indices in Chile. The analysis is carried out with a vector autoregressive (VAR) model with exogenous variables. Models were estimated using monthly data for Chile from January 1987 to December 2013. Average pass-through ratio to total CPI is estimated to be between 0.1 and 0.2 in the medium term. These results indicate a lower ERPT after the adoption of inflation targeting. Moreover, from 2002 onwards the effect of an exchange rate movement takes around four quarters to pass-through completely, compared to one to two years for the full sample.

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Published

25-04-2016

How to Cite

Sansone , A. ., & Justel , S. . (2016). Exchange rate pass-through to prices: var evidence for Chile. ECONOMÍA CHILENA, 19(1), 20–37. Retrieved from http://xn--economachilena-5lb.cl/index.php/economiachilena/article/view/191

Issue

Vol. 19 No. 1 (2016)

Section

Articles

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