In this paper, we test for the period-specific and regime-dependent exchange rate and oil price pass-through (EROPPT) for the BRICS countries using monthly frequency data. To this end, we extend the Diebold-Yilmaz (DY) spillover index to nonlinear settings based on the vector smooth transition autoregressive (STVAR) model. The results suggest that changes in the exchange rate and oil price of different magnitudes have asymmetric effects between the lower and upper regimes of the period-specific and regime-dependent pass-through. The results further show that the pass-through effects are stronger during periods the BRICS economies have completely adjusted to a specific regime than periods in which the economies only partially adjusted. Furthermore, our findings show considerable evidence of a higher pass-through when nonlinearity is captured. Overall, these findings provide macroeconomic insights for the monetary policymakers.

在本文中，我们使用月度频率数据测试了金砖国家的特定时期和依制度而定的汇率以及油价传递（EROPPT）。为此，我们基于矢量平滑过渡自回归（STVAR）模型将Diebold-Yilmaz（DY）溢出指数扩展到非线性设置。结果表明，不同时期的汇率和石油价格的变化在特定时期和依赖制度的通过的上下制度之间具有不对称的影响。结果进一步表明，金砖四国经济完全调整为特定制度的时期相比，通行效应要强于仅部分调整的时期。此外，我们的发现表明，当捕获非线性时，有较大的通过率更高的证据。