International financial market integration, asset compositions, and the falling exchange rate pass-through
This paper provides an explanation for the observed decline of the exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature, we tak...
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| Main Authors: | , , |
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| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
Munich
CESifo, Center for Economic Studies & Ifo Institute
May 2017
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| Series: | CESifo working paper Category 7, Monetary policy and international finance
no. 6483 |
| In: |
CESifo working papers (no. 6483)
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| Subjects: | |
| Online Access: | Resolving-System, Volltext: http://hdl.handle.net/10419/161922 Verlag, Volltext: http://www.cesifo-group.de/ifoHome/publications/working-papers/CESifoWP/CESifoWPdetails?wp_id=19321471 
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| Author Notes: | Almira Enders, Zeno Enders, Mathias Hoffmann |
MARC
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| 490 | 1 | |a CESifo working paper |v no. 6483 |a Category 7, Monetary policy and international finance | |
| 520 | |a This paper provides an explanation for the observed decline of the exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature, we take the interdependence of this decision with the optimal portfolio choice of internationally traded financial assets explicitly into account. In particular, price setters move towards more local-currency pricing and portfolios include more foreign debt assets following increased financial integration. Both predictions are in line with novel empirical evidence. | ||
| 650 | 4 | |a exchange rate pass-through |7 (dpeaa)DE-206 | |
| 650 | 4 | |a financial integration |7 (dpeaa)DE-206 | |
| 650 | 4 | |a portfolio home bias |7 (dpeaa)DE-206 | |
| 650 | 4 | |a international price setting |7 (dpeaa)DE-206 | |
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