publication . Preprint . 2004

Pass-Through of Exchange Rates to Domestic Prices in East European Countries and the Role of Economic Enviroment

Martins Bitans;
Open Access
  • Published: 30 Dec 2004
Abstract
The paper examines the exchange rate pass-through in a set of 13 East European countries during the period of 1993–2003. The pass-through estimates are derived from a recursive VAR model in first differences, and the impact of exchange rate changes on both producer and consumer prices is studied. The estimates obtained for two sub-sample periods generally show an incomplete pass-through over a two-year horizon. In addition, the results imply a considerable cross-country variation and suggest that a significant decline (by nearly 50%) in the pass-through is possible over time. In particular, it is found that the exchange rate pass-through in East European countri...
Subjects
free text keywords: pass-through of exchange rate, recursive VAR model, Exchange Rate Mechanism II, jel:E31, jel:C32, jel:E52

2. Adolfson, M. "Implications of Exchange Rate Objectives under Incomplete Exchange Rate Pass-

Through." Working Paper, No. 135, Sveriges Riksbank, June, 2002 a. 7. Baxter, M.; Stockman, A. C. "Business Cycles and the Exchange Rate Regime: Some International

Evidence." Journal of Monetary Economics, Vol. 23, No. 3, 1989, pp. 377-400. 8. Belaisch, A. "Exchange Rate Pass-Through in Brazil." IMF Working Paper, No. 03/141 May, 2003. 27. Fischer, S. "Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule."

Journal of Political Economy, Vol. 85, Issue 1, 1977, pp. 191-205. 28. Frenkel, J. A. "The Collapse of Purchasing Power Parities During the 1970's." European Economic

Review, No. 16, 1981, pp. 145-165.

46. Mankiw, N. G. "Small Menu Costs and Large Business Cycles: A Macroeconomic Model of

Monopoly." Quarterly Journal of Economics, Vol. 100, Issue 2, May, 1985, pp. 529-537.

Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue