Is pass-through of the exchange rate to restaurant and hotel prices asymmetric in the US? Role of monetary policy uncertainty
Loading...
Date
2023
Journal Title
Journal ISSN
Volume Title
Publisher
SPRINGER
Access Rights
info:eu-repo/semantics/openAccess
Abstract
This study examines the exchange rate pass-through to the United States (US) restaurant and hotel prices by incorporating the effect of monetary policy uncertainty over the period 2001:M12 to 2019:M01. Using the nonlinear autoregressive distributed lag (NARDL) model, empirical evidence indicates asymmetric pass-through of exchange rate and monetary policy uncertainty. Moreover, a stronger pass-through effect is observed during depreciation and a negative shock in monetary policy uncertainty, corroborating asymmetric pass-through predictions. Our results further show that a positive shock in energy prices leads to an increase in restaurant and hotel prices. Furthermore, asymmetric causality indicates that a positive shock in the exchange rate causes a positive shock to restaurant and hotel prices. We found feedback causal effects between positive and negative shocks in monetary policy uncertainty and positive and negative shocks in the exchange rate. Additionally, we detected a one-way asymmetric causality, flowing from a positive (negative) shock to a positive (negative) shock in energy prices. Therefore, these findings provide insights for policymakers to achieve low and stable prices in the US restaurant and hotel industry through sound monetary policy formulations.
Description
Keywords
Restaurant and hotel pricesExchange rateMonetary policy uncertaintyEnergy price indexUS economy
Journal or Series
FINANCIAL INNOVATION
WoS Q Value
Q1
Scopus Q Value
Volume
9
Issue
1
