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Exchange rate pass-through to import prices: Evidence from Serbia

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  • Safet Kurtović

Abstract

In this paper we estimated the degree of exchange rate pass-through (ERPT) into aggregate import prices in Serbia. ERPT was determined by application of single equation, cointegration approach (ARDL model), error correction term (ECM) and VAR Granger Causality tests. We based our research on data from 2008Q1 to 2014Q4. The results of our research show partial pass-through in the short run; in the long run pass-through was not observed. In addition to that, we found that appreciation of the nominal effective exchange rate (NEER) led to significant pass-through asymmetry in the short run.

Suggested Citation

  • Safet Kurtović, 2019. "Exchange rate pass-through to import prices: Evidence from Serbia," Economics and Business Letters, Oviedo University Press, vol. 8(1), pages 7-16.
    • Handle: RePEc:ove:journl:aid:12751
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    File URL: https://reunido.uniovi.es/index.php/EBL/article/view/12751
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    1. Jeannine Bailliu & Eiji Fujii, 2004. "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation," Staff Working Papers 04-21, Bank of Canada.
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    7. Joseph P. Byrne & Aditya S. Chavali & Alexandros Kontonikas., 2010. "Exchange Rate Pass Through To Import Prices: Panel Evidence From Emerging Market Economies," Working Papers 2010_19, Business School - Economics, University of Glasgow.
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