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Impact of exchange rate on prices in the presence of structural breaks

  • Kadyrov, Maxim
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    Today exchange rate influences many areas and indicators of economic activity in the country, including consumer price index In many studies the impact of exchange rate on prices (denoted as pass-through effect) is considered from theoretical and empirical point of view In this paper we study pass-through effect in Russia from 1994 to 2008 Particular attention is paid to structural shifts in the economy which occurred during the period under investigation, their estimating and modeling, as it turns out that structural changes are important for correct determining pass-through effect

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    File URL: http://pe.cemi.rssi.ru/pe_2010_3_09-22.pdf
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    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 19 (2010)
    Issue (Month): 3 ()
    Pages: 9-22

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    Handle: RePEc:ris:apltrx:0109
    Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

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    1. Maurice Obstfeld & Kenneth Rogoff & Ben Bernanke & Kenneth Rogoff, . "The Six Major Puzzles in International Macroeconomics: Is there a Common Cause?," Working Paper 32326, Harvard University OpenScholar.
    2. Dornbusch, Rudiger, 1987. "Exchange Rates and Prices," American Economic Review, American Economic Association, vol. 77(1), pages 93-106, March.
    3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    4. Allan w. Gregory & Bruce E. Hansen, 1992. "residual-Based Tests for Cointegration in Models with Regime Shifts," Working Papers 862, Queen's University, Department of Economics.
    5. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
    6. Pinelopi K. Goldberg & Michael M. Knetter, 1996. "Goods Prices and Exchange Rates: What Have We Learned?," NBER Working Papers 5862, National Bureau of Economic Research, Inc.
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