摘要：This paper examines the presence of nonlinear behavior in the exchange rate pass-through (ERPT) for a set of euro
area countries. We propose to solve the endogeneity problem inherent in single-equation-based methods by
implementing the family of nonlinear vector smooth transition regression (VSTR) models. Using quarterly data that
span from 1980:1 to 2015:4, linearity tests reveal that the ERPT responds nonlinearly to economic growth. According
to the pass-through elasticities, exchange rate transmission differs significantly between the identified economic activity
regimes. However, our results underscore the presence of heterogeneous profiles across the euro area economies. For
some countries, the ERPT is higher during expansions than during recessions; however, the result is reversed for
others. Our findings emphasize the role of a declining ERPT, as it may foster business cycle synchronization and
inflation convergence within the monetary union.
