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Using a Restricted Kalman Filtering Approach for the Estimation of a Dynamic Exchange-Rate Pass-Through pp. 255-268 $100.00
Authors:  (Rafael Martins de Souza, Luiz Felipe Pires Maciel, Adrian Pizzinga, National School of Statistical Sciences (ENCE), Brazilian Institute of Geography and Statistics (IBGE), and others)
Abstract:
In this paper we propose linear state space models to estimate the time-varying passthrough
of Brazilian price indexes against the US Dollar/Real exchange rate from 1999
to 2007. The methodological framework encompasses the restricted Kalman filtering
under a reduced modeling approach, under which it becomes possible to check
whether some economic hypotheses are supported by the data. The paper has three
main targets. The first is to decide whether models of null (or of full) pass-through
are acceptable to the price indexes investigated here. The second is to carry out likelihood
ratio tests for the significance of some economic exogenous variables, which
are termed determinants in this paper and are theoretically associated with the passthrough.
The third is to analyze the behavior of the Kalman filter estimates of the
pass-through from the best models. 


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Using a Restricted Kalman Filtering Approach for the Estimation of a Dynamic Exchange-Rate Pass-Through pp. 255-268