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Exchange rate pass-through into Romanian price indices. A VAR approach

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  • 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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Bibliographic Info

Paper provided by Institute for Economic Forecasting in its series Working Papers of Macroeconomic Modelling Seminar with number 092102.

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Length: 24 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:rjr:wpmems:092102

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

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  1. Bussière, Matthieu & Peltonen, Tuomas, 2008. "Exchange rate pass-through in the global economy – the role of emerging market economies," BOFIT Discussion Papers 25/2008, Bank of Finland, Institute for Economies in Transition.
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  13. Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
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  25. repec:nbr:nberwo:12547 is not listed on IDEAS
  26. José Manuel Campa & Jose M. González Mínguez, 2002. "Differences in exchange rate pass-through in the euro area," Banco de Espa�a Working Papers 0219, Banco de Espa�a.
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Cited by:
  1. Milan Nedeljkovic & Branko Urosevic, 2011. "Determinants of the Dinar-Euro Nominal Exchange Rate," Working papers 18, National Bank of Serbia.
  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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