A Panel Smooth Transition Model for the Exchange Rate Pass-Through : New Evidence from the New EU Member States

@inproceedings{Cheikh2017APS,
  title={A Panel Smooth Transition Model for the Exchange Rate Pass-Through : New Evidence from the New EU Member States},
  author={Nidhaleddine Ben Cheikh and Younes Ben Zaied},
  year={2017}
}
This paper studies the existence of nonlinear behaviour in exchange rate passthrough (ERPT) for a set of new EU Member States (NMS). To account for nonlinearities, we implement a Panel Smooth Transition Regression (PSTR) approach, where the extent of pass-through is allowed to respond nonlinearly to the inflation environment. The main advantage of PSTR framework is the use of a grid search to select endogenously the threshold level(s) allowing to identify different inflation regimes. Using… CONTINUE READING

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