Exchange rate pass-through after large currency depreciations

• Thesis title in English: Exchange rate pass-through after large currency depreciations
• Academic year of topic announcement: 2015/2016
• Thesis type: diploma thesis
• Thesis language: angličtina
• Department: Institute of Economic Studies (23-IES)
• Supervisor: doc. Mgr. Tomáš Holub, Ph.D.
• Author: hidden - assigned by the advisor
• Date of registration: 25.04.2016
• Date of assignment: 15.06.2016

Guidelines

During recent years central banks worldwide commonly demonstrated that exchange rate is though supplementary but powerful monetary policy instrument. The aim of the proposed thesis is to evaluate to what
extent a large scale currency depreciation is translated into import and domestic prices. For this purpose, the data for the most recent cases, e.g. Brazil and Russia, are taken and the responses are evaluated using dynamic stochastic general equilibrium model and vector autoregression analysis building on the open-economy New Keynesian framework.

This work thus attempts to support the hypothesis that the exchange rate pass-trough into prices following a massive currency depreciation is distinctly identifable in the pattern of nominal and real variables, compared to rather minor changes in exchange rate.

Methodology
- Time-series Econometrics
- Dynamic Stochastic General Equilibrium Model
- Vector Autoregression Model
- New-Keynesian Open Economy Framework
- Matlab and Dynare Software

References

1. Adolfson, M. et al (2007): Monetary Policy Shocks: What Have We Learned and to What End?. Handbook of Macroeconomics 1A: pp. 65-148.

2. Campa, J. M. and L. S. Goldberg (2008): Exchange Rate Pass-Through into Import Prices. The Review of Economics and Statistics 87(4): pp. 679-690.

3. Christiano, L. J., M. Eichenbaum and L. Evans (1998): Monetary Policy Shocks: What Have We Learned and to What End? Handbook of Macroeconomics 1A: pp. 65-148.

4. Christiano, L. J., M. Trabandt and K. Walentin (1987): DSGE Model for Monetary Policy Analysis. Handbook of Monetary Economics 3: pp. 285-367.

5. Galí, J. and T. Monacelli (2005): Monetary Policy and Exchange Rate Volatility in a Small Open Economy. Review of Economic Studies. 72: pp. 707-734.

6. Galí, J. and M. Gertler (1999): Inflation dynamics: A structural econometric analysis. Journal of Monetary Economics 44: pp. 195-222.

Preliminary scope of work in English

Outline
1. Introduction
2. Literature Review
3. Methodology
4. Empirical Evidence
5. Conclusion