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Exchange Rate Pass-Through into Romanian Price Indices. Avar Approach

Listed author(s):
  • Cozmanca, Bogdan-Octavian

    ()

    (Academy of Economic Studies, Bucharest, and National Bank of Romania)

  • Manea, Florentina

    ()

    (RBS Romania)

This paper investigates the exchange rate pass-through (ERPT) into import prices, producer prices and several different measures of consumer price indices for the Romanian economy. In order to determine the size and describe the dynamics in ERPT, the paper employs an array of econometric methods belonging to the VAR family. The methods employed are RVARs (on different price indices and/or on a rolling window) and Sign-restriction VARs (also using different consumer inflation measures). The results point to an almost complete pass-through into import prices and incomplete pass-through into producer and consumer prices. In all cases except import prices the ERPT displays a decline in magnitude over the analysed time interval.

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File URL: http://www.ipe.ro/rjef/rjef3_10/rjef3_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): 3 (September)
Pages: 26-52

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Handle: RePEc:rjr:romjef:v::y:2010:i:3:p:26-52
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  9. 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.
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  16. Matthieu Bussière & Simona Delle Chiaie & Tuomas A Peltonen, 2014. "Exchange Rate Pass-Through in the Global Economy: The Role of Emerging Market Economies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 62(1), pages 146-178, April.
  17. Ca' Zorzi, Michele & Hahn, Elke & Sánchez, Marcelo, 2007. "Exchange rate pass-through in emerging markets," Working Paper Series 739, European Central Bank.
  18. Bussière, M. & Delle Chiaie, S. & Peltonen, T. A., 2013. "Exchange Rate Pass-Through in the Global Economy," Working papers 424, Banque de France.
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  20. Joseph E. Gagnon & Jane E. Ihrig, 2001. "Monetary policy and exchange rate pass-through," International Finance Discussion Papers 704, Board of Governors of the Federal Reserve System (U.S.).
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  22. Hahn, Elke, 2003. "Pass-through of external shocks to euro area inflation," Working Paper Series 243, European Central Bank.
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