Asymmetries in the exchange rate pass-through into Romanian price indices
AbstractThe 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 had been detected.
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Bibliographic InfoPaper provided by Institute for Economic Forecasting in its series Working Papers of Macroeconomic Modelling Seminar with number 092201.
Length: 34 pages
Date of creation: Nov 2009
Date of revision:
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More information through EDIRC
exchange rate; pass-through; import prices; producer prices; consumer prices; vector autoregression; asymmetries; MS-VAR; TAR; SETAR.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- O52 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Europe
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
- NEP-IFN-2009-11-27 (International Finance)
- NEP-MON-2009-11-27 (Monetary Economics)
- NEP-TRA-2009-11-27 (Transition Economics)
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