Exchange Rate Pass-Through into German Import Prices – A Disaggregated Perspective
AbstractThis study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also cointegration techniques to carefully distinguish between shortrun and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.
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Bibliographic InfoPaper provided by ROME Network in its series ROME Working Papers with number 201306.
Length: 32 pages
Date of creation: Jul 2013
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exchange rate pass-through; Germany; cointegration; time-varying coefficient model;
Other versions of this item:
- Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Exchange rate pass-through into German import prices - a disaggregated perspective," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79855, Verein für Socialpolitik / German Economic Association.
- Joscha Beckmann & Ansgar Belke & Florian Verheyen, 2013. "Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective," Ruhr Economic Papers 0427, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- F10 - International Economics - - Trade - - - General
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
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