Asymmetric and non-linear pass-through effect of exchange rate on inflation: Evidence from the Fragile Five countries
Küçük Resim Yok
Tarih
2026
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier B.V.
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study aims to analyze the possible asymmetric and non-linear effects of exchange rate and interest rate on different inflation components in the Fragile Five countries over the period 1980–2023 by using the panel smooth transition regression and panel non-linear ARDL model. As a result of the analysis, in pass-through model where the exchange rate is the threshold variable, it is found that the exchange rate positively affects the consumer prices index and the producer prices index in the high exchange rate regime, but the impact on the consumer prices index is higher. On the other hand, in model where the threshold variable is the interest rate, it is determined that the interest rate negatively affects the consumer prices index and the producer prices index in both the high-interest rate regime and the low-interest rate regime, and this effect is higher on the consumer prices index. © 2026 The Authors.
Açıklama
Anahtar Kelimeler
Asymmetry, Exchange Rate, Fragile Five, Inflation, Interest Rate, Non-Linearity, Pass-Through Effect
Kaynak
Journal of Policy Modeling
WoS Q Değeri
Scopus Q Değeri
Q1
