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Exchange Rate Pass-Through in Romania

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  • Nikolay Gueorguiev
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    Abstract

    Quantifying the size and speed of the exchange rate pass-through to prices is important for formulating monetary policy decisions in Romania. Using a recursive VAR model, this paper finds that (i) the pass-through is large and relatively fast, accounting for a sizable fraction of inflation; (ii) the pass-through from the exchange rate against the U.S. dollar is larger, if not faster, than the one from alternative exchange rate benchmarks; and (iii) the pass-through to producer prices seems to have moderated recently, while the same cannot be said yet for consumer prices.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 03/130.

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    Length: 30
    Date of creation: 01 Jun 2003
    Date of revision:
    Handle: RePEc:imf:imfwpa:03/130

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    Related research

    Keywords: Exchange rates; Economic models; exchange rate; inflation; dollar exchange rate; monetary policy; exchange rate dynamics; exchange rate pass; exchange rate changes; monetary fund; national bank; exchange rate depreciation; exchange rate shock; exchange rate shocks; monetary policy decisions; foreign exchange; exchange rate volatility; nominal exchange rate; monetary authority; nominal effective exchange rate; effective exchange rate; inflation-targeting; monetary policy transmission mechanisms; central bank; exchange rate movements; exchange rate misalignment; exchange rate change; monetary framework; money demand; exchange rate fluctuations; monetary transmission; alternative exchange rate; monetary policy framework; exchange rate developments; foreign exchange market; monetary transmission mechanism;

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    1. Billmeier, Andreas & Bonato, Leo, 2004. "Exchange rate pass-through and monetary policy in Croatia," Journal of Comparative Economics, Elsevier, vol. 32(3), pages 426-444, September.
    2. Choudhri, Ehsan U. & Faruqee, Hamid & Hakura, Dalia S., 2005. "Explaining the exchange rate pass-through in different prices," Journal of International Economics, Elsevier, Elsevier, vol. 65(2), pages 349-374, March.
    3. Betts, Caroline & Devereux, Michael B., 1996. "The exchange rate in a model of pricing-to-market," European Economic Review, Elsevier, Elsevier, vol. 40(3-5), pages 1007-1021, April.
    4. J. McCarthy, 1999. "Pass-through of exchange rates and import prices to domestic inflation in some industrialised economies," BIS Working Papers 79, Bank for International Settlements.
    5. Dalia Hakura & Ehsan U. Choudhri, 2001. "Exchange Rate Pass-Through to Domestic Prices," IMF Working Papers 01/194, International Monetary Fund.
    6. Betts, Caroline & Devereux, Michael B., 2000. "Exchange rate dynamics in a model of pricing-to-market," Journal of International Economics, Elsevier, Elsevier, vol. 50(1), pages 215-244, February.
    7. Marco Rossi & Daniel Leigh, 2002. "Exchange Rate Pass-Through in Turkey," IMF Working Papers 02/204, International Monetary Fund.
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