This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Exchange rate pass-through to consumer prices : a European perspective Author info | Abstract | Publisher info | Download info | Related research | Statistics Schröder, Michael
Hüfner, Felix P.
Additional information is available for the following
registered author(s):
We study the pass-through of exchange rate changes to consumer prices for the euro area by estimating vector error correction models for Germany, France, Italy, the Netherlands and Spain. Using the weights of the Harmonized Index of Consumer Prices (HICP) we compute a weighted average of the country results for the euro area. We find that in response to a ten percent depreciation of the euro nominal effective exchange rate index, the HICP tends to increase by 0,4 percent after 12 months. The total effect amounts to 0,8 percent and the adjustment of consumer prices is completed after three years. --
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number
02-20.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 2002Date of revision:
Handle: RePEc:zbw:zewdip:877Contact details of provider: Postal: L 7,1; D - 68161 Mannheim Phone: +49/621/1235-01 Fax: +49/621/1235-224 Email: Web page: http://www.zew.de/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (ZBW - German National Library for Economics).
Keywords: pass-through ; inflation ; exchange rate ; euro area ; Other versions of this item:
Find related papers by JEL classification: E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation F31 - International Economics - - International Finance - - - Foreign Exchange F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Kim, Ki-Ho, 1998.
"US Inflation and the Dollar Exchange Rate: A Vector Error Correction Model ,"
Applied Economics ,
Taylor and Francis Journals, vol. 30(5), pages 613-19, May.
[Downloadable!] (restricted)
Dornbusch, Rudiger, 1987.
"Exchange Rates and Prices ,"
American Economic Review ,
American Economic Association, vol. 77(1), pages 93-106, March.
Other versions: Menon, Jayant, 1995.
" Exchange Rate Pass-Through ,"
Journal of Economic Surveys ,
Blackwell Publishing, vol. 9(2), pages 197-231, June.
Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004.
"Generalizations of the KPSS-test for stationarity ,"
Statistica Neerlandica ,
Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 483-502.
[Downloadable!] (restricted)
Kim, Yoonbai, 1991.
"External Adjustments and Exchange Rate Flexibility: Some Evidence from U.S. Data ,"
The Review of Economics and Statistics ,
MIT Press, vol. 73(1), pages 176-81, February.
[Downloadable!] (restricted)
Sven W. Arndt & J. David Richardson, 1988.
"Real-Financial Linkages Among Open Economies ,"
NBER Working Papers
2230, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Joseph E. Gagnon & Jane Ihrig, 2001.
"Monetary policy and exchange rate pass-through ,"
International Finance Discussion Papers
704, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Stefan Gerlach & Lars E.O. Svensson, 2000.
"Money and Inflation in the Euro Area: A Case for Monetary Indicators? ,"
NBER Working Papers
8025, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Gerlach, Stefan & Svensson, Lars E O, 2002.
"Money and Inflation in the Euro-Area: A Case for Monetary Indicators? ,"
CEPR Discussion Papers
3392, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Lars E.O. Svensson & Stefan Gerlach, 2001.
"Money and inflation in the Euro Area: A case for monetary indicators? ,"
BIS Working Papers
98, Bank for International Settlements.
[Downloadable!] Gerlach, Stefan & Svensson, Lars E. O., 2003.
"Money and inflation in the euro area: A case for monetary indicators? ,"
Journal of Monetary Economics ,
Elsevier, vol. 50(8), pages 1649-1672, November.
[Downloadable!] (restricted) George A. Kahn, 1987.
"Dollar depreciation and inflation ,"
Economic Review ,
Federal Reserve Bank of Kansas City, issue Nov, pages 32-49.
[Downloadable!]
Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root? ,"
Papers
8905, Michigan State - Econometrics and Economic Theory.
Other versions:
Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? ,"
Cowles Foundation Discussion Papers
979, Cowles Foundation, Yale University.
[Downloadable!] Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root? ,"
Journal of Econometrics ,
Elsevier, vol. 54(1-3), pages 159-178.
[Downloadable!] (restricted) Ilan Goldfajn & Sergio R.C. Werlang, 2000.
"The pass-through from depreciation to inflation : a panel study ,"
Textos para discussão
423, Department of Economics PUC-Rio (Brazil).
[Downloadable!]
Kenny, Geoff & McGettigan, Donal, 1998.
"Exchange Rates and Import Prices for a Small Open Economy: The Case of Ireland ,"
Applied Economics ,
Taylor and Francis Journals, vol. 30(9), pages 1147-55, September.
[Downloadable!] (restricted)
Pinelopi Koujianou Goldberg & Michael M. Knetter, 1997.
"Goods Prices and Exchange Rates: What Have We Learned? ,"
Journal of Economic Literature ,
American Economic Association, vol. 35(3), pages 1243-1272, September.
[Downloadable!] (restricted)
Other versions: Ilan Goldfajn & Sérgio Ribeiro da Costa Werlang, 2000.
"The Pass-through from Depreciation to Inflation: A Panel Study ,"
Working Papers Series
5, Central Bank of Brazil, Research Department.
[Downloadable!]
Jonathan McCarthy, 2000.
"Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies ,"
Staff Reports
111, Federal Reserve Bank of New York.
[Downloadable!]
Other versions: Newey, Whitney K & West, Kenneth D, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 61(4), pages 631-53, October.
[Downloadable!] (restricted)
Other versions: Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994.
"A Comparison of Unit-Root Test Criteria ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 12(4), pages 449-59, October.
Sinimaaria Ranki, 2000.
"Does the Euro Exchange Rate Matter ? ,"
Discussion Papers
729, The Research Institute of the Finnish Economy.
[Downloadable!]
Bernanke, Ben S. & Mihov, Ilian, 1997.
"What does the Bundesbank target? ,"
European Economic Review ,
Elsevier, vol. 41(6), pages 1025-1053, June.
[Downloadable!] (restricted)
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Forte, Antonio, 2009.
"The pass-through effect: a twofold analysis ,"
MPRA Paper
16527, University Library of Munich, Germany.
[Downloadable!]
Other versions: Peter Rowland, .
"Exchange Rate Pass-Throught to Domestic Prices: The Case of Colombia ,"
Borradores de Economia
254, Banco de la Republica de Colombia.
[Downloadable!]
Mirdala, Rajmund, 2009.
"Interest rate transmission mechanism of monetary policy in the selected EMU candidate countries ,"
MPRA Paper
14072, University Library of Munich, Germany, revised Jul 2009.
[Downloadable!]
Other versions: Martins Bitans, 2005.
"Pass-Through of Exchange Rates to Domestic Prices in East European Countries and the Role of Economic Enviroment ,"
Working Papers
2004/04, Latvijas Banka.
[Downloadable!]
Sophocles N. Brissimis & Theodora S. Kosma, 2005.
"Market power, innovative activity and exchange rate pass-through in the euro area ,"
Working Paper Series
531, European Central Bank.
[Downloadable!]
Peter Rowland, 2003.
"Exchange Rate Pass-Through To Domestic Prices: The Case Of Colombia ,"
BORRADORES DE ECONOMIA
002683, BANCO DE LA REPÚBLICA.
[Downloadable!]
Access and
download statistics Did you know? The most prolific authors have over 700 items listed on IDEAS.
This page was last updated on 2009-12-8.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .