@inbook{d1bf061e26314b0b83b7a637db012401,
title = "Modeling foreign exchange rate pass-through using the exponential GARCH",
abstract = "In this chapter, the authors use an EGARCH-ECM to estimate the pass-through effects of Foreign Exchange (FX) rate changes and changes in producers' prices for 20 U.K. export sectors. The long-run adjustments of export prices to FX rate changes and changes in producers' prices are within the range of -1.02% (for the Textiles sector) and -17.22% (for the Meat sector). The contemporaneous Pricing-To-Market (PTM) coefficients are within the range of -72.84% (for the Fuels sector) and -8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of changes in FX rate and producers' prices vary substantially, as do asymmetry and volatility estimates before equilibrium is achieved.",
author = "Baoying Lai and Joseph, {Nathan Lael}",
year = "2014",
month = apr,
day = "30",
doi = "10.4018/978-1-4666-5958-2.ch008",
language = "English",
isbn = "9781466659582",
series = "Analytical Approaches to Strategic Decision-Making: Interdisciplinary Considerations",
publisher = "IGI Global",
pages = "139--190",
editor = "{Tavana }, {Madjid }",
booktitle = "Analytical Approaches to Strategic Decision-Making: Interdisciplinary Considerations",
address = "United States",
}