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Exchange rate pass-through to consumer prices: a European perspective

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  • Schröder, Michael
  • Hüfner, Felix P.

Abstract

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. --

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Bibliographic Info

Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 02-20.

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Date of creation: 2002
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Handle: RePEc:zbw:zewdip:877

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Keywords: pass-through; inflation; exchange rate; euro area;

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References

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Citations

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Cited by:
  1. Mirdala, Rajmund, 2009. "Interest rate transmission mechanism of the monetary policy in the selected EMU candidate countries (SVAR approach)," MPRA Paper 14072, University Library of Munich, Germany.
  2. Brissimis, Sophocles N. & Kosma, Theodora, 2005. "Market power, innovative activity and exchange rate pass-through in the euro area," Working Paper Series 0531, European Central Bank.
  3. Beirne, John & Bijsterbosch, Martin, 2009. "Exchange Rate Pass-through in Central and Eastern European Member States," Working Paper Series 1120, European Central Bank.
  4. Beirne, John & Bijsterbosch, Martin, 2011. "Exchange rate pass-through in central and eastern European EU Member States," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 241-254, March.
  5. Antonio Forte, 2009. "The pass-through effect: a twofold analysis," EERI Research Paper Series EERI_RP_2009_08, Economics and Econometrics Research Institute (EERI), Brussels.
  6. Victoria V. Dobrynskaya, 2008. "The Monetary and Exchange Rate Policy of the Central Bank of Russia under Asymmetrical Price Rigidity," Journal of Innovation Economics, De Boeck Université, vol. 0(1), pages 29-62.
  7. Martins Bitans, 2004. "Pass-Through of Exchange Rates to Domestic Prices in East European Countries and the Role of Economic Enviroment," Working Papers 2004/04, Latvijas Banka.
  8. Peter Rowland, 2003. "Exchange Rate Pass-Through To Domestic Prices: The Case Of Colombia," BORRADORES DE ECONOMIA 002683, BANCO DE LA REPÚBLICA.
  9. Peter Rowland, . "Exchange Rate Pass-Throught to Domestic Prices: The Case of Colombia," Borradores de Economia 254, Banco de la Republica de Colombia.

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