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

Andrés Sansone (1) , Santiago Justel (2)
(1) , Chile
(2) , Chile

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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Authors

Andrés Sansone
Santiago Justel
Sansone , A. ., & Justel , S. . (2016). Exchange rate pass-through to prices: var evidence for Chile. ECONOMÍA CHILENA, 19(1), 20–37. https://doi.org/10.36923/economa.v19i1.191

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