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Exchange rate pass-through in the Netherlands: has it changed?

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  • Robert-Paul Berben
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    Abstract

    This study assesses whether the degree of exchange rate pass-through in the Netherlands has changed during the run-up to Economic and Monetary Union. VAR models are estimated on rolling sample periods to show that the pass-through of changes in the guilder-mark exchange rate has increased, while the pass-through of changes in the guilder-pound and guilder-dollar have remained more or less stable. This supports the view that the Netherlands and Germany have become increasingly integrated. This is in contrast to Taylor's (Economic Review 44, 1384-408, 2000) claim that the decline in inflation has been associated with a significant decline in the degree to which firms pass-through changes in costs.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 11 (2004)
    Issue (Month): 3 ()
    Pages: 141-143

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    Handle: RePEc:taf:apeclt:v:11:y:2004:i:3:p:141-143

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    1. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
    2. Choudhri, Ehsan U. & Hakura, Dalia S., 2006. "Exchange rate pass-through to domestic prices: Does the inflationary environment matter?," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 614-639, June.
    3. Corsetti, Giancarlo & Pesenti, Paolo, 2002. "Self-Validating Optimum Currency Areas," CEPR Discussion Papers 3220, C.E.P.R. Discussion Papers.
    4. Engel, C. & Rogers, J.H., 1996. "Regional Patterns in the Law of One Price: The Roles of Geography vs. Currencies," Discussion Papers in Economics at the University of Washington 96-01, Department of Economics at the University of Washington.
    5. 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.
    6. Dalia Hakura & Ehsan U. Choudhri, 2001. "Exchange Rate Pass-Through to Domestic Prices," IMF Working Papers 01/194, International Monetary Fund.
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    Cited by:
    1. Bryan Chapple, 2006. "Monetary policy strategies and credibility - theory and practice," DNB Occasional Studies 404, Netherlands Central Bank, Research Department.
    2. Bakhshoodeh, M., 2010. "Impacts of world prices transmission to domestic rice markets in rural Iran," Food Policy, Elsevier, vol. 35(1), pages 12-19, February.
    3. Pål Boug & Ådne Cappelen & Torbjørn Eika, 2005. "Exchange Rate Pass-through in a Small Open Economy," Discussion Papers 429, Research Department of Statistics Norway.

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