Nonlinear exchange rate pass-through and monetary policy credibility: Evidence from Korea
运用平滑转换向量自回归模型和调查预期数据，研究了韩国在不同货币政策可信度状态下汇率冲击对通胀的非线性影响，发现低可信度时期汇率冲击影响更大。
Applying a smooth transition vector autoregression model with survey expectation data, we investigate the nonlinear effects of exchange rate shocks on inflation across monetary policy credibility states in Korea. We find that the impact of the exchange rate shocks is statistically larger in the low credibility regime, particularly in the short run. Our findings suggest that monetary policy credibility plays a significant role in maintaining for price stability in Korea.