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Essays on Exchange Rate Pass-Through

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THESIS_imzasiz.pdf (2.207Mb)
Date
2023
Author
Çolak, Yasemin
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Abstract
This dissertation re-examines the exchange rate pass-through using two empirical methods; panel quantile regression and dynamical model averaging methods in two essays. The first essay tests the association between a high (low) inflation environment and the exchange rate pass-through degree, namely Taylor's hypothesis, applying quantile regression. This method allows us to capture the distributional heterogeneity that addresses whether the exchange rate pass-through degree depends on the inflationary environment. Results provide evidence in favor of Taylor's hypothesis. It is found that the higher the quantiles of inflation, the larger the exchange rate pass through. The second essay analyzes the exchange rate pass-through dynamics considering the time-varying parameters and model uncertainty. Our findings imply that the 2008 global crisis triggers a change in exchange rate pass-through dynamics. Pass through is found to be low but rising since the pandemic in all advanced countries. In addition, it has a positive relationship with average inflation rates and a weak positive relationship with trade openness in emerging countries.
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http://hdl.handle.net/11655/29181
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