Medición no linealde la dependencia de la inflaciónsobre el tipo de cambio nominal(pass-through)

This paper aims to analyze, by using the concept of mutual information, the existing relationship between the nominal exchange rate and different inflation components. The proposed information measure captures the dependence structure between these two variables, resulting in new empirical findings not explored by previous works. Among these findings are: i) existence of bimodal bivariate distributions useful to explain regime changes, and ii) increases in dependence between the variables in low-volatility periods and decreases in dependence in uncertain environments, previously measured as pass-through. Moreover, such distributions allow studying the different transmission speeds for each inflation component.