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Asymmetries In The Exchange Rate Pass-Through Into Romanian Price Indices

  • Cozmânca, Bogdan Octavian

    ()

    (The Academy of Economic Studies Bucharest ; The National Bank of Romania)

  • Manea, Florentina

    ()

    (RBS Romania)

The article examines the asymmetries of the exchange rate pass-through (ERPT) into import, producer and consumer price indices for the Romanian economy. Using three econometric methods naturally equipped to capture various types of asymmetries (MS-VAR, TAR and SETAR), important asymmetries with respect to sign and size of the exchange rate, size of inflation and time period have been detected.

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File URL: http://www.ipe.ro/rjef/rjef1_10/rjef1_10_2.pdf
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Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): (2010)
Issue (Month): 1 (March)
Pages: 21-44

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Handle: RePEc:rjr:romjef:v::y:2010:i:1:p:21-44
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  1. Ehrmann , Michael & Ellison, Martin & Valla, Natacha, 2001. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Research Discussion Papers 11/2001, Bank of Finland.
  2. Patricia S. Pollard & Cletus C. Coughlin, 2004. "Size matters: asymmetric exchange rate pass-through at the industry level," Working Papers 2003-029, Federal Reserve Bank of St. Louis.
  3. Taylor, John B., 2000. "Low inflation, pass-through, and the pricing power of firms," European Economic Review, Elsevier, vol. 44(7), pages 1389-1408, June.
  4. Kenneth A. Froot & Paul Klemperer, 1989. "Exchange Rate Pass-Through When Market Share Matters," NBER Working Papers 2542, National Bureau of Economic Research, Inc.
  5. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
  6. Hamid Faruqee, 2004. "Exchange Rate Pass-Through in the Euro Area; The Role of Asymmetric Pricing Behavior," IMF Working Papers 04/14, International Monetary Fund.
  7. J. McCarthy, 1999. "Pass-through of exchange rates and import prices to domestic inflation in some industrialised economies," BIS Working Papers 79, Bank for International Settlements.
  8. 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.).
  9. Rudiger Dornbusch, 1985. "Exchange Rates and Prices," NBER Working Papers 1769, National Bureau of Economic Research, Inc.
  10. Hahn, Elke, 2003. "Pass-through of external shocks to euro area inflation," Working Paper Series 0243, European Central Bank.
  11. Frederic S. Mishkin, 2008. "Exchange Rate Pass-Through And Monetary Policy," NBER Working Papers 13889, National Bureau of Economic Research, Inc.
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