{
  "title": "Non-Linear Exchange Rate Pass-Through in Emerging Markets",
  "publication": "IMF Working Papers, January 5, 2016",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/non-linear-exchange-rate-pass-through-in-emerging-markets-43539",
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  "summary": "This paper estimates exchange rate pass-through to consumer prices in emerging markets focusing on non-linearities and asymmetries.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Paper estimates exchange rate pass-through (ERPT) to consumer prices in emerging markets with focus on non-linearities and asymmetries.\n- Uses local projection techniques to obtain state dependent impulse responses in a panel of 28 emerging markets.\n- Investigates the role of temporary vs. permanent shocks and the adoption of an inflation targeting regime in the transmission from exchange rate movements to prices.\n- Performs robustness checks addressing the presence of outliers and potential endogeneity concerns."
    },
    {
      "heading": "Key findings",
      "content": "- Documents non-linearities and asymmetries in the transmission of exchange rate fluctuations to prices.\n- Finds significant evidence of non-linearities during episodes of depreciation greater than 10 and 20 percent.\n- Reports that, after one month, the exchange rate pass-through coefficient is equal to 18 and 25 percent respectively for the 10 and 20 percent depreciation episodes, compared to a coefficient of 6 percent in the linear case."
    },
    {
      "heading": "Methodology",
      "content": "- Employs local projection techniques to obtain state dependent impulse responses.\n- Uses a panel dataset covering 28 emerging markets."
    },
    {
      "heading": "Additional analyses and robustness",
      "content": "- Examines differences in transmission for temporary versus permanent shocks.\n- Investigates the impact of adopting an inflation targeting regime on exchange rate pass-through.\n- Conducts robustness checks for outliers and potential endogeneity concerns.\n\n---\n\n Content in this bundle\n\n- Non-Linear Exchange Rate Pass-Through in Emerging Markets; IMF working paper WP/16/1; January 2016\n  - Non-Linear Exchange Rate Pass-Through in Emerging Markets; IMF working paper WP/16/1; January 2016 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Non-Linear Exchange Rate Pass-Through in Emerging Markets; IMF working paper WP/16/1; January 2016 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/non-linear-exchange-rate-pass-through-in-emerging-markets-43539"
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    "Authors: Francesca Caselli, Agustin Roitman",
    "Published: January 5, 2016",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513578262.001",
    "Paper estimates exchange rate pass-through (ERPT) to consumer prices in emerging markets with focus on non-linearities and asymmetries.",
    "Uses local projection techniques to obtain state dependent impulse responses in a panel of 28 emerging markets.",
    "Investigates the role of temporary vs. permanent shocks and the adoption of an inflation targeting regime in the transmission from exchange rate movements to prices.",
    "Performs robustness checks addressing the presence of outliers and potential endogeneity concerns.",
    "Documents non-linearities and asymmetries in the transmission of exchange rate fluctuations to prices.",
    "Finds significant evidence of non-linearities during episodes of depreciation greater than 10 and 20 percent.",
    "Reports that, after one month, the exchange rate pass-through coefficient is equal to 18 and 25 percent respectively for the >10 and >20 percent depreciation episodes, compared to a coefficient of 6 percent in the linear case.",
    "Employs local projection techniques to obtain state dependent impulse responses.",
    "Uses a panel dataset covering 28 emerging markets.",
    "Examines differences in transmission for temporary versus permanent shocks.",
    "Investigates the impact of adopting an inflation targeting regime on exchange rate pass-through.",
    "Conducts robustness checks for outliers and potential endogeneity concerns.",
    "**Non-Linear Exchange Rate Pass-Through in Emerging Markets; IMF working paper WP/16/1; January 2016**"
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