This study examines the evolution of exchange rate pass-through (ERPT) into import, producer, and consumer prices in Peru from 1995Q2 to 2022Q4 using time-varying parameter and stochastic volatility VAR models. Findings reveal a resurgence of ERPTs into import and producer prices since 2009, particularly during the period of a strong US dollar following the 2013 taper tantrum and from 2020 to 2022. Increased uncertainty surrounding the exchange rate and future macroeconomic policies, triggered by the political uncertainty following the 2021 general elections, may have contributed to this trend. Short-term ERPT exceeds long-term ERPT, which might reflect prevalent price dollarization in Peru's import and producer prices. Consumer ERPT remained stable at around 10% until 2009, then increased to 15%, indicating lower levels of price dollarization. This paper sheds light on ERPT dynamics in Peru, carrying implications for policymakers in emerging economies.

中文翻译：

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秘鲁汇率传导至价格的演变：使用 TVP-VAR-SV 模型的实证应用

本研究使用时变参数和随机波动率 VAR 模型，研究了 1995 年第二季度至 2022 年第四季度秘鲁的汇率传递 (ERPT) 对进口、生产者和消费者价格的演变。调查结果显示，自 2009 年以来，ERPT 对进口和生产者价格的影响重新抬头，特别是在 2013 年“缩减恐慌”之后美元走强期间以及 2020 年至 2022 年。政治不确定性引发了围绕汇率和未来宏观经济政策的不确定性增加2021 年大选之后，可能促成了这一趋势。短期ERPT 超过长期ERPT，这可能反映了秘鲁进口和生产者价格中普遍的价格美元化。消费者ERPT一直稳定在10%左右，直到2009年，然后增加到15%，表明价格美元化水平较低。本文揭示了秘鲁的ERPT动态，对新兴经济体的政策制定者具有重要意义。