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Asymmetries In The Exchange Rate Pass-Through Into Romanian Price Indices

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  • Cozmânca, Bogdan Octavian

    ()
    (The Academy of Economic Studies Bucharest ; The National Bank of Romania)

  • Manea, Florentina

    ()
    (RBS Romania)

Abstract

The article examines the asymmetries of the exchange rate pass-through (ERPT) into import, producer and consumer price indices for the Romanian economy. Using three econometric methods naturally equipped to capture various types of asymmetries (MS-VAR, TAR and SETAR), important asymmetries with respect to sign and size of the exchange rate, size of inflation and time period have been detected.

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Bibliographic Info

Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): (2010)
Issue (Month): 1 (March)
Pages: 21-44

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Handle: RePEc:rjr:romjef:v::y:2010:i:1:p:21-44

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Keywords: exchange rate; pass-through; import prices; producer prices; consumer prices; vector autoregression; asymmetries; MS-VAR; TAR; SETAR;

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References

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  1. Joseph E. Gagnon & Jane Ihrig, 2001. "Monetary policy and exchange rate pass-through," International Finance Discussion Papers 704, Board of Governors of the Federal Reserve System (U.S.).
  2. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
  3. Ehrmann , Michael & Ellison, Martin & Valla, Natacha, 2001. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Research Discussion Papers 11/2001, Bank of Finland.
  4. Rudiger Dornbusch, 1985. "Exchange Rates and Prices," NBER Working Papers 1769, National Bureau of Economic Research, Inc.
  5. Kenneth A. Froot & Paul Klemperer, 1989. "Exchange Rate Pass-Through When Market Share Matters," NBER Working Papers 2542, National Bureau of Economic Research, Inc.
  6. Frederic S. Mishkin, 2008. "Exchange Rate Pass-Through And Monetary Policy," NBER Working Papers 13889, National Bureau of Economic Research, Inc.
  7. Taylor, John B., 2000. "Low inflation, pass-through, and the pricing power of firms," European Economic Review, Elsevier, vol. 44(7), pages 1389-1408, June.
  8. Jonathan McCarthy, 2000. "Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies," Staff Reports 111, Federal Reserve Bank of New York.
  9. Hamid Faruqee, 2004. "Exchange Rate Pass-Through in the Euro Area," IMF Working Papers 04/14, International Monetary Fund.
  10. Hahn, Elke, 2003. "Pass-through of external shocks to euro area inflation," Working Paper Series 0243, European Central Bank.
  11. Patricia S. Pollard & Cletus C. Coughlin, 2004. "Size matters: asymmetric exchange rate pass-through at the industry level," Working Papers 2003-029, Federal Reserve Bank of St. Louis.
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Cited by:
  1. Y. Ponomarev & P. Trunin & A. Ulyukayev., 2014. "Exchange Rate Pass-through in Russia," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 3.
  2. Nedeljković, Milan & Urošević, Branko, 2012. "Determinants of the Dinar-Euro Nominal Exchange Rate," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 121-141, September.

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