State‐Dependent Exchange Rate Pass‐Through
研究了汇率变动对国内价格的影响如何随经济状态和冲击类型变化，发现高不确定性和高通胀时期传递效应更大，且美国货币政策驱动的汇率波动传递效应更强。
ABSTRACT We estimate how the rate of pass‐through from the exchange rate to domestic prices varies across states of the economy and depending on the shocks that drive fluctuations in the exchange rate. We confirm several results from the literature and uncover new facts. Drawing on the experience of a large sample of advanced and emerging market economies over the past 30 years, we document that exchange rate pass‐through is significantly larger during periods of elevated uncertainty and when inflation is high. Using a novel identification strategy, we also show that pass‐through is higher when exchange rate fluctuations are driven by U.S. monetary policy.