11 research outputs found

    Threshold Autoregressive Model of Exchange Rate Pass through Effect: The Case of Croatia

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    In this paper exchange rate pass-through effect in Croatia is estimated with nonlinear (asymmetric) threshold autoregressive model (TAR). In total 12285 regressions is estimated and a strong case of nonlinearity with single threshold is proven. According to our estimation there is a threshold at 2.69% of monthly change of nominal exchange rate of German mark (Euro) and the way in which nominal exchange rate affects inflation is asymmetric around it. Below the threshold, effect of change in nominal exchange rate on inflation is statistically insignificant and above the threshold the effect is strong and significant.threshold autoregressive model, pass-through effect, exchange rate, inflation, nonlinear econometrics

    Sjećanje na don Mladena Alajbega

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    U povodu 25. obljetnice smrti don Mladena Alajbega

    Threshold Autoregressive Model of Exchange Rate Pass through Effect: the Case of Croatia

    Get PDF
    In this paper exchange rate pass-through effect in Croatia is estimated with nonlinear (asymmetric) threshold autoregressive model (TAR). In total 12285 regressions is estimated and a strong case of nonlinearity with single threshold is proven. According to our estimation there is a threshold at 2.69% of monthly change of nominal exchange rate of German mark (Euro) and the way in which nominal exchange rate affects inflation is asymmetric around it. Below the threshold, effect of change in nominal exchange rate on inflation is statistically insignificant and above the threshold the effect is strong and significant
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