Welcome to the InfoSci Platform
Modeling Foreign Exchange Rate Pass-Through using the Exponential GARCH

Modeling Foreign Exchange Rate Pass-Through using the Exponential GARCH

Baoying Lai, Nathan Lael Joseph
Copyright: © 2014 |Pages: 52
ISBN13: 9781466659582|ISBN10: 1466659580|EISBN13: 9781466659599
DOI: 10.4018/978-1-4666-5958-2.ch008
Cite Chapter Cite Chapter

MLA

Lai, Baoying, and Nathan Lael Joseph. "Modeling Foreign Exchange Rate Pass-Through using the Exponential GARCH." Analytical Approaches to Strategic Decision-Making: Interdisciplinary Considerations, edited by Madjid Tavana, IGI Global, 2014, pp. 139-190. https://doi.org/10.4018/978-1-4666-5958-2.ch008

APA

Lai, B. & Joseph, N. L. (2014). Modeling Foreign Exchange Rate Pass-Through using the Exponential GARCH. In M. Tavana (Ed.), Analytical Approaches to Strategic Decision-Making: Interdisciplinary Considerations (pp. 139-190). IGI Global. https://doi.org/10.4018/978-1-4666-5958-2.ch008

Chicago

Lai, Baoying, and Nathan Lael Joseph. "Modeling Foreign Exchange Rate Pass-Through using the Exponential GARCH." In Analytical Approaches to Strategic Decision-Making: Interdisciplinary Considerations, edited by Madjid Tavana, 139-190. Hershey, PA: IGI Global, 2014. https://doi.org/10.4018/978-1-4666-5958-2.ch008

Export Reference

Mendeley
Favorite

Abstract

In this chapter, the authors use an EGARCH-ECM to estimate the pass-through effects of Foreign Exchange (FX) rate changes and changes in producers’ prices for 20 U.K. export sectors. The long-run adjustments of export prices to FX rate changes and changes in producers’ prices are within the range of –1.02% (for the Textiles sector) and –17.22% (for the Meat sector). The contemporaneous Pricing-To-Market (PTM) coefficients are within the range of –72.84% (for the Fuels sector) and –8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of changes in FX rate and producers’ prices vary substantially, as do asymmetry and volatility estimates before equilibrium is achieved.

Request Access

You do not own this content. Please login to recommend this title to your institution's librarian or purchase it from the IGI Global bookstore.