Exchange Rate Pass-Through Over the Business Cycle in Singapore
June 1, 2011
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Summary
This paper investigates exchange rate pass-through in Singapore using band-pass spectral regression techniques, allowing for asymmetric effects over the business cycle. First stage pass-through is estimated to be complete and relatively quick, confirming existing views that the exchange rate provides an effective tool to moderate imported inflation in Singapore. Asymmetric pass-through effects over the business cycle are also detected, with importers passing on a smaller share of exchange rate movements during boom periods as compared to recessions. This result suggest that Singapore’s exchange rate policy could afford to "lean against the wind," especially during cyclical expansions.
Subject: Business cycles, Consumer price indexes, Economic growth, Exchange rate pass-through, Exchange rates, Foreign exchange, Import prices, Prices
Keywords: Business cycles, Consumer price indexes, Exchange Rate Pass-Through, Exchange rates, Global, import price pass-through, import prices, inflation, nominal exchange rate, pass-through effect, pass-through elasticity, pass-through literature, Singapore, stage pass-through, WP
Pages:
28
Volume:
2011
DOI:
Issue:
141
Series:
Working Paper No. 2011/141
Stock No:
WPIEA2011141
ISBN:
9781455266425
ISSN:
1018-5941
