Nonlinear exchange rate pass-through: Does business cycle matter?

Ben Cheikh, N; Zaied, YB; Bouzgarrou, H; Nguyen, P

Nonlinear exchange rate pass-through: Does business cycle matter?

Ben Cheikh, N Zaied, YB Bouzgarrou, H Nguyen, P

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Publication Type:: Journal Article
Citation:: Journal of Economic Integration, 2018, 33 (2), pp. 1234 - 1261
Issue Date:: 2018-06-01

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Field	Value	Language
dc.contributor.author	Ben Cheikh, N	en_US
dc.contributor.author	Zaied, YB	en_US
dc.contributor.author	Bouzgarrou, H	en_US
dc.contributor.author	Nguyen, P	en_US
dc.date.issued	2018-06-01	en_US
dc.identifier.citation	Journal of Economic Integration, 2018, 33 (2), pp. 1234 - 1261	en_US
dc.identifier.issn	1225-651X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/130370
dc.description.abstract	© 2018-Center for Economic Integration, Sejong Institution, Sejong University, All Rights Reserved. This paper investigates the nonlinear dynamics in the Exchange Rate Pass-Through of the Euro area. We implement the class of logistic smooth transition models to explore the role of the business cycle in driving nonlinearity. Using quarterly data over the period of January 1980 ~ April 2015, our results provide strong evidence of nonlinearity in 7 out of 10 Eurozone countries. We show that the exchange rate transmission to inflation respond to the economic activity in the nonlinear manner, that is, exchange rate pass-through is higher during expansion than recession periods. By monitoring the different patterns of growth and exchange rate pass-through, European monetary authorities could enhance inflation convergence within the Euro area.	en_US
dc.relation.ispartof	Journal of Economic Integration	en_US
dc.relation.isbasedon	10.11130/jei.2018.33.2.1235	en_US
dc.title	Nonlinear exchange rate pass-through: Does business cycle matter?	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	33	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Strength - CCG - Centre for Corporate Governance
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	33	en_US

Abstract:

© 2018-Center for Economic Integration, Sejong Institution, Sejong University, All Rights Reserved. This paper investigates the nonlinear dynamics in the Exchange Rate Pass-Through of the Euro area. We implement the class of logistic smooth transition models to explore the role of the business cycle in driving nonlinearity. Using quarterly data over the period of January 1980 ~ April 2015, our results provide strong evidence of nonlinearity in 7 out of 10 Eurozone countries. We show that the exchange rate transmission to inflation respond to the economic activity in the nonlinear manner, that is, exchange rate pass-through is higher during expansion than recession periods. By monitoring the different patterns of growth and exchange rate pass-through, European monetary authorities could enhance inflation convergence within the Euro area.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/130370