Exchange rate pass-through in central and eastern European EU Member States
This paper provides estimates of exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we sh...
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| Veröffentlicht in: | Journal of policy modeling 2011-03, Vol.33 (2), p.241-254 |
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| container_title | Journal of policy modeling |
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| creator | Beirne, John Bijsterbosch, Martin |
| description | This paper provides estimates of exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we show that ERPT to consumer prices averages about 0.6 using the cointegrated VAR and 0.5 using the impulse responses. We also find that the ERPT seems to be higher for countries that have adopted some form of fixed exchange rate regime. These results are robust to alternative normalisation of the VAR and alternative ordering of the impulse responses. |
| doi_str_mv | 10.1016/j.jpolmod.2010.11.001 |
| format | Article |
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Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we show that ERPT to consumer prices averages about 0.6 using the cointegrated VAR and 0.5 using the impulse responses. We also find that the ERPT seems to be higher for countries that have adopted some form of fixed exchange rate regime. These results are robust to alternative normalisation of the VAR and alternative ordering of the impulse responses.</abstract><cop>New York</cop><pub>Elsevier Inc</pub><doi>10.1016/j.jpolmod.2010.11.001</doi><tpages>14</tpages></addata></record> |
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| ispartof | Journal of policy modeling, 2011-03, Vol.33 (2), p.241-254 |
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| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Central and eastern Europe Central Eastern Europe Cointegration Cointegration analysis Consumer Price Index Consumer prices Economic models Estimation EU membership Exchange rate pass-through Exchange rate pass-through Inflation Central and eastern Europe Exchange rates Fixed exchange rates Foreign exchange rates Impulse response functions Inflation Regional analysis Regression analysis Studies Vector-autoregressive models |
| title | Exchange rate pass-through in central and eastern European EU Member States |
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