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Exchange Rate Pass-Through into Romanian Price Indices. Avar Approach

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Author Info

  • Cozmanca, Bogdan-Octavian

    ()
    (Academy of Economic Studies, Bucharest, and National Bank of Romania)

  • Manea, Florentina

    ()
    (RBS Romania)

Abstract

This paper investigates the exchange rate pass-through (ERPT) into import prices, producer prices and several different measures of consumer price indices for the Romanian economy. In order to determine the size and describe the dynamics in ERPT, the paper employs an array of econometric methods belonging to the VAR family. The methods employed are RVARs (on different price indices and/or on a rolling window) and Sign-restriction VARs (also using different consumer inflation measures). The results point to an almost complete pass-through into import prices and incomplete pass-through into producer and consumer prices. In all cases except import prices the ERPT displays a decline in magnitude over the analysed time interval.

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File URL: http://www.ipe.ro/rjef/rjef3_10/rjef3_10_2.pdf
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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): 3 (September)
Pages: 26-52

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Handle: RePEc:rjr:romjef:v::y:2010:i:3:p:26-52

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Keywords: exchange rate; pass-through; import prices; producer prices; consumer prices; vector autoregression; sign-restriction;

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Cited by:
  1. 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.
  2. Milan Nedeljkovic & Branko Urosevic, 2011. "Determinants of the Dinar-Euro Nominal Exchange Rate," Working papers 18, National Bank of Serbia.

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