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Exchange Rate Changes and Inflation in Post-Crisis Asian Economies : VAR Analysis of the Exchange Rate Pass-Through
http://hdl.handle.net/2261/2681
http://hdl.handle.net/2261/268125ae45c0-22ce-4361-80d9-17c005cd86f4
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-06-03 | |||||
| タイトル | ||||||
| タイトル | Exchange Rate Changes and Inflation in Post-Crisis Asian Economies : VAR Analysis of the Exchange Rate Pass-Through | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | exchange rate pass-through | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | structural shocks | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | vector autoregression | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | East Asia | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classificaion Numbers: F12, F31, F41 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Ito, Takatoshi
× Ito, Takatoshi× Sato, Kiyotaka |
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| 著者所属 | ||||||
| 著者所属 | University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Yokohama National University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The pass-through effects of exchange rate changes on the domestic prices in the East Asian countries are examined using a VAR analysis including several price indices and domestic macroeconomic variables as well as the exchange rate. Results from the VAR analysis show that (1) the degree of exchange rate pass-through to import prices was quite high in the crisis-hit countries; (2) the pass-through to CPI was generally low, with a notable exception of Indonesia: and (3) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks are positive, large and statistically significant. Thus, Indonesia's accommodative monetary policy as well as the high degree of the CPI responsiveness to exchange rate changes was important factors that resulted in the spiraling effects of domestic price inflation and sharp nominal exchange rate depreciation in the post-crisis period. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-406, 発行日 2006-03 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf406ab.html | |||||
