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Transmission of Exchange Rate Shocks into Domestic Inflation: The Case of the Czech Republic Author info | Abstract | Publisher info | Download info | Related research | Statistics Oxana Babecká-Kucharčuková () (Czech National Bank )
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This paper aims at estimating the exchange rate pass-through (ERPT) for the Czech Republic. The existing empirical literature does not come to a consensus about the degree of pass-through to Czech inflation. Since there is no unique approach regarding how to measure ERPT, the author uses 11 specifications, including some along the distribution chain in the spirit of McCarthy (2007). She tries to explore the properties of exchange rate shock transmission by comparing impulse responses. In addition, she tries to account for possible variation in time. Finally, she explores how the pass-through differs between tradable (3 sub-groups) and non-tradable goods. She finds that the speed of exchange rate shock trans-mission to all prices is quite high. However, in absolute terms, ERPT does not exceed 25–30 %.
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Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance .
Volume (Year): 59 (2009)
Issue (Month): 2 (June)
Pages: 137-152
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Handle: RePEc:fau:fauart:v:59:y:2009:i:2:p:137-152Contact details of provider: Postal: Opletalova 26, CZ-110 00 Prague Phone: +420 2 222112330 Fax: +420 2 22112304 Email: Web page: http://ies.fsv.cuni.cz/ More information through EDIRC
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Keywords: exchange rate pass-through ; inflation ; VAR ; VECM ; Other versions of this item:
Find related papers by JEL classification: E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies F31 - International Economics - - International Finance - - - Foreign Exchange
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