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An evaluation of pass-through in Argentina using multivariate quantile impulse response functions

This article implements multivariate quantiles econometric models to evaluate the heterogeneity in price and product pass-through in Argentina 2004-2018. The novel analysis reveals response heterogeneity after an exchange rate shock. First, the mean effects computed using standard VAR techniques on...

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Autor Principal: Montes Rojas, Gabriel Victorio
Formato: Online
Idioma:spa
Publicado: EdiUNS 2019
Acceso en línea:https://revistas.uns.edu.ar/ee/article/view/1436
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spelling oai:oai.revistas.uns.edu.ar:article-14362021-07-23T13:38:49Z An evaluation of pass-through in Argentina using multivariate quantile impulse response functions Una evaluación del pass-through en la Argentina usando funciones impulso respuesta de cuantiles multivariados Montes Rojas, Gabriel Victorio Pass-through Impulse response functions Argentina pass-through funciones impulso respuesta Argentina This article implements multivariate quantiles econometric models to evaluate the heterogeneity in price and product pass-through in Argentina 2004-2018. The novel analysis reveals response heterogeneity after an exchange rate shock. First, the mean effects computed using standard VAR techniques on the mean are notadequate for product and infl ation. In fact, the effects computed this way are similar to those in extreme quantiles as estimated in this paper. Second, pass-through effects using the offi cial exchange rate on inflation and product mainly depend on each variables’ quantiles, and there are no cross effects. That is, the product effects vary with the product quantiles, but not those of infl ation. Similarly, the effects on inflation do not depend on product but on infl ation only quantiles. There are cross effects, however, when using the unofficial exchange rate. The pass-through effect on prices is higher (lower) for low (high) inflation quantiles. Third, both product and infl ation depend on the exchange rate quantiles. Thus certain exchange rate dynamics may produce high pass-through dynamics (negative for product, positive for inflation). Este trabajo implementa modelos econométricos de cuantiles multivariados para evaluar el pass-through del tipo de cambio a precios y producto. El nuevo análisis revela heterogeneidad en las respuestas ante un shock cambiario. Primero, los efectos de la media, calculados con un modelo VAR en la media, no resultan adecuados para el producto y la inflación. De hecho los efectos calculados de esta manera se condicen con cuantiles extremos en el análisis propuesto en este trabajo. Segundo, los efectos de pass-through usando el tipo de cambio oficial sobre el producto y la inflación dependen mayormente de los cuantiles de cada variable y no parece haber efectos cruzados. Es decir, los efectos sobre el producto varían con los cuantiles del producto pero no de la inflación. En el mismo sentido, los efectos sobre la inflación no dependen de los cuantiles del producto y sí de la misma inflación. Existen efectos cruzados, sin embargo, cuando usamos el tipo de cambio blue. En términos del pass-through a precios se observa que el traslado es mayor (menor) para menores (mayores) cuantiles de la inflación.  Tercero, tanto el producto como la inflación dependen de los cuantiles del tipo de cambio. Esto significa que ciertas dinámicas altas del tipo de cambio pueden producir dinámicas de alto pass-through (negativo para el producto, positivo para la inflación). EdiUNS 2019-12-20 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf application/epub+zip https://revistas.uns.edu.ar/ee/article/view/1436 10.52292/j.estudecon.2019.1436 Estudios económicos; Vol 36 No 73 (2019); 145-189 Estudios económicos; Vol. 36 Núm. 73 (2019); 145-189 2525-1295 0425-368X spa https://revistas.uns.edu.ar/ee/article/view/1436/1111 https://revistas.uns.edu.ar/ee/article/view/1436/1115
institution UNS
collection Biblioteca Digital Académica
building Biblioteca Central
Biblioteca de Economía
bda_str Estudios Económicos
hierarchy_parent_id bda_ee
hierarchy_parent_title Estudios Económicos
hierarchy_top_id bda_str
hierarchy_top_title Biblioteca Digital Académica
first_indexed 2018-08-22T17:39:27Z
last_indexed 2018-08-22T17:39:27Z
language spa
format Online
author Montes Rojas, Gabriel Victorio
spellingShingle Montes Rojas, Gabriel Victorio
An evaluation of pass-through in Argentina using multivariate quantile impulse response functions
author_facet Montes Rojas, Gabriel Victorio
author_sort Montes Rojas, Gabriel Victorio
title An evaluation of pass-through in Argentina using multivariate quantile impulse response functions
title_short An evaluation of pass-through in Argentina using multivariate quantile impulse response functions
title_full An evaluation of pass-through in Argentina using multivariate quantile impulse response functions
title_fullStr An evaluation of pass-through in Argentina using multivariate quantile impulse response functions
title_full_unstemmed An evaluation of pass-through in Argentina using multivariate quantile impulse response functions
title_sort evaluation of pass-through in argentina using multivariate quantile impulse response functions
topic_facet Pass-through
Impulse response functions
Argentina
pass-through
funciones impulso respuesta
Argentina
description This article implements multivariate quantiles econometric models to evaluate the heterogeneity in price and product pass-through in Argentina 2004-2018. The novel analysis reveals response heterogeneity after an exchange rate shock. First, the mean effects computed using standard VAR techniques on the mean are notadequate for product and infl ation. In fact, the effects computed this way are similar to those in extreme quantiles as estimated in this paper. Second, pass-through effects using the offi cial exchange rate on inflation and product mainly depend on each variables’ quantiles, and there are no cross effects. That is, the product effects vary with the product quantiles, but not those of infl ation. Similarly, the effects on inflation do not depend on product but on infl ation only quantiles. There are cross effects, however, when using the unofficial exchange rate. The pass-through effect on prices is higher (lower) for low (high) inflation quantiles. Third, both product and infl ation depend on the exchange rate quantiles. Thus certain exchange rate dynamics may produce high pass-through dynamics (negative for product, positive for inflation).
publisher EdiUNS
publishDate 2019
url https://revistas.uns.edu.ar/ee/article/view/1436
_version_ 1707674781277487104
score 12,614403

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