Asymmetries in the pass-through of exchange rate to prices: The Argentine case 2004-2019

Abstract

This document performs an analysis of the asymmetry and non-linearity of the effect that the volatility of the exchange rate introduces on the domestic prices of Argentina during the period 2004-2019. Using the local projections technique, the pass-through coefficient from the exchange rate to prices in different contexts and magnitudes is calculated in order to evaluate its non-linearity and asymmetry. Different specifications of the exchange rate variable were used for a more exhaustive examination. The results suggest that the pass-through coefficient behaves asymmetrically for all the exchange rate variables used and shows clear evidence of non-linearity.

Date of presentation: 01-28-2021

Date of approval: 05-20-2021

JEL classification: C22 ; E3 ; E5 ; F3 ; F4