Munich Personal RePEc Archive

The Degree of Currency Substitution and Exchange Rate Pass-Through

Ülke, Volkan (2015): The Degree of Currency Substitution and Exchange Rate Pass-Through.

[thumbnail of MPRA_paper_75633.pdf]

Download (357kB) | Preview


This study investigates the effect of the degree of currency substitution on the exchange rate pass-through (ERPT) to import and domestic prices in Turkey, using monthly data between 1998 and 2013. The recursive interacted vector autoregressive (IVAR) specification of Towbin and Weber (2013) is employed, based on McCarthy’s (1999) distribution chain model. Currency substitution is treated as an interaction term in the IVAR specification. The empirical evidence suggests that high currency substitution increases the effect of ERPT to import and domestic prices.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.