Asymmetric exchange rate Pass-Through: evidence from Colombia based in a TVAR model

Santiago Marín-Ardila

Authors

Santiago Marín-Ardila

Keywords:

asymmetries, pass-through, exchange rate, inflation, TVAR, nonlinearities, Colombia

Abstract

In this paper we assess the asymmetric responses of the inflation rate to nominal exchange rate shocks in Colombia. To this end, we estimate a Threshold VAR (TVAR) along with a Generalized Impulse Response Function (GIRF) framework. The empirical evidence illustrates the existence of two regimes (low and high nominal exchange rate levels) and that nominal exchange rate shocks have different effects on the inflation rate depending from the regime which the shock departs.

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Asymmetric exchange rate Pass-Through: evidence from Colombia based in a TVAR model

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