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

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  • Kadyrov, Maxim

Abstract

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

Suggested Citation

  • Kadyrov, Maxim, 2010. "Impact of exchange rate on prices in the presence of structural breaks," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 19(3), pages 9-22.
  • Handle: RePEc:ris:apltrx:0109
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    References listed on IDEAS

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    1. 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.
    2. Сосунов Кирилл Александрович & Шмыкова С. В., 2005. "Влияние Валютного Курса На Потребительские Цены В России," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 9(1), pages 3-16.
    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. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-273.
    5. Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Chapters,in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412 National Bureau of Economic Research, Inc.
    6. Dornbusch, Rudiger, 1987. "Exchange Rates and Prices," American Economic Review, American Economic Association, vol. 77(1), pages 93-106, March.
    7. Канторович Григорий Гельмутович, 2002. "Лекции: Анализ Временных Рядов," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 6(3), pages 379-401.
    8. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    9. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
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    Cited by:

    1. Айвазян С.А. & Березняцкий А.Н. & Бродский Б.Е., 2016. "Региональные Модели Ценовых Индексов," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(4), pages 24-46, октябрь.

    More about this item

    Keywords

    exchange rate pass-through effect; consumer price index; cointegration; structural shift; Gregory-Hansen method; purchasing power parity;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure

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