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Impact of exchange rate on prices in the presence of structural breaks

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  • Kadyrov, Maxim

Abstract

Today 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

Suggested Citation

  • Kadyrov, Maxim, 2010. "Impact of exchange rate on prices in the presence of structural breaks," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 19(3), pages 9-22.
    • Handle: RePEc:ris:apltrx:0109
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    1. Айвазян С.А. & Березняцкий А.Н. & Бродский Б.Е., 2016. "Региональные Модели Ценовых Индексов," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(4), pages 24-46, октябрь.
    2. Polbin, Andrey & Skrobotov, Anton, 2022. "On decrease in oil price elasticity of GDP and investment in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 5-24.
    3. M. Tiunova G. & М. Тиунова Г., 2018. "Моделирование Эффекта Переноса Валютного Курса На Цены В России // Modeling The Transfer Effect Of Exchange Rate On Prices In Russia," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(3), pages 136-154.

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    More about this item

    Keywords

    exchange rate pass-through effect; consumer price index; cointegration; structural shift; Gregory-Hansen method; purchasing power parity;
    All these keywords.

    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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