Impact of exchange rate on prices in the presence of structural breaks
AbstractToday exchange rate influences many areas and indicators of economic activity in the country, including consumer price index In many studies the impact of exchange rate on prices (denoted as pass-through effect) is considered from theoretical and empirical point of view In this paper we study pass-through effect in Russia from 1994 to 2008 Particular attention is paid to structural shifts in the economy which occurred during the period under investigation, their estimating and modeling, as it turns out that structural changes are important for correct determining pass-through effect
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 19 (2010)
Issue (Month): 3 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
exchange rate pass-through effect; consumer price index; cointegration; structural shift; Gregory-Hansen method; purchasing power parity;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure
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