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Exchange rate pass-through in central and eastern European EU Member States

  • Beirne, John
  • Bijsterbosch, Martin

This paper provides estimates of exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we show that ERPT to consumer prices averages about 0.6 using the cointegrated VAR and 0.5 using the impulse responses. We also find that the ERPT seems to be higher for countries that have adopted some form of fixed exchange rate regime. These results are robust to alternative normalisation of the VAR and alternative ordering of the impulse responses.

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File URL: http://www.sciencedirect.com/science/article/B6V82-51FXR3B-1/2/b2d7567dcca3d576b564dbba3c7243f3
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Article provided by Elsevier in its journal Journal of Policy Modeling.

Volume (Year): 33 (2011)
Issue (Month): 2 (March)
Pages: 241-254

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Handle: RePEc:eee:jpolmo:v:33:y:2011:i:2:p:241-254
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505735

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