Replication folder and dataset for dynamics of exchange rate pass-through: the role of pricing strategies and economic shocks

This dataset and accompanying replication codes evaluates the exchange rate pass-through under alternative pricing strategies. The included files contain the necessary codes for both prior and posterior estimations, accompanied by comparison plots that illustrate the differences between these estimates. The codes also generate impulse response functions to visualize the effects of various economic shocks under each pricing strategy. To quantify the contribution of specific shocks to the target variable's fluctuations, the codes perform a variance decomposition analysis. Further, they also produce plots of the smoothed shocks, allowing for an examination of how shock dependencies evolve over time. Finally, for robustness analysis, the dataset includes codes to perform a moment comparison, which assesses the consistency between historical data and model-simulated data.