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Long Run Exchange Rate Pass-Through Into Import Prices In Developing Countries: An Homogeneous or Heterogeneous Phenomenon?

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  • barhoumi karim

    ()
    (greqam)

Abstract

In this paper, we analyze the nature of long-run exchange rate pass-through in a panel of 24 developing countries. We define and estimate an exchange rate pass-through equation based on micro-foundations of pricing behaviour by exporters firms. We adopt a multi-country framework and we use non-stationary panel estimation techniques and test for panel cointegration. we show that long-run exchange rate pass-through in developing countries is an heterogeneous phenomenon.

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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 6 (2005)
Issue (Month): 14 ()
Pages: 1-12

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Handle: RePEc:ebl:ecbull:eb-05f10005

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Keywords: Developing countries;

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References

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  1. repec:ltr:wpaper:1994.08 is not listed on IDEAS
  2. Bacchetta, Philippe & Van Wincoop, Eric, 2002. "A theory of the currency denomination of international trade," Working Paper Series, European Central Bank 0177, European Central Bank.
  3. Athukorala, Premachandra & Menon, Jayant, 1995. "Exchange Rates and Strategic Pricing: The Case of Swedish Machinery Exports," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 57(4), pages 533-46, November.
  4. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9526, Faculty of Economics, University of Cambridge.
  5. Rudiger Dornbusch, 1985. "Exchange Rates and Prices," NBER Working Papers 1769, National Bureau of Economic Research, Inc.
  6. Jeannine Bailliu & Eiji Fujii, 2004. "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation," Working Papers, Bank of Canada 04-21, Bank of Canada.
  7. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 90(1), pages 1-44, May.
  8. Pedroni, Peter, 1999. " Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
  9. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 16, Center for Policy Research, Maxwell School, Syracuse University.
  10. Kaddour Hadri, 1999. "Testing For Stationarity In Heterogeneous Panel Data," Research Papers, University of Liverpool Management School 1999_04, University of Liverpool Management School.
  11. Banerjee, Anindya, 1999. " Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 61(0), pages 607-29, Special I.
  12. Menon, Jayant, 1996. "The Degree and Determinants of Exchange Rate Pass-through: Market Structure, Non-tariff Barriers and Multinational Corporations," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 106(435), pages 434-44, March.
  13. Menon, Jayant, 1995. " Exchange Rate Pass-Through," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 9(2), pages 197-231, June.
  14. Peter Pedroni, 2001. "Purchasing Power Parity Tests In Cointegrated Panels," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 727-731, November.
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Cited by:
  1. García Solanes, José & Torrejón-Flores, Fernando, 2008. "The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained," Economics Discussion Papers 2008-14, Kiel Institute for the World Economy.
  2. Yuriy Gorodnichenko & Oleksandr Talavera, 2014. "Price Setting in Online Markets: Basic Facts, International Comparisons, and Cross-border Integration," NBER Working Papers 20406, National Bureau of Economic Research, Inc.

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