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An Investigation of the Exchange Rate Pass-Through in the Baltic States

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  • Mariarosaria Comunale

Abstract

In this paper, we investigate the Exchange Rate Pass-Through (ERPT) to import and consumer prices in the three Baltic states. We apply reduced form equations first. Then, to look at measures of shock-dependent ERPT, we use Bayesian VARs with zero and sign restrictions and a local projection exercise, using common euro area shocks. We find that results from reduced form equations are in line with the ERPT literature. As for shock-dependent ERPTs, the magnitudes are overall bigger than in the literature in the case of import prices. They get smaller for consumer prices and even smaller if we remove energy and food prices.

Suggested Citation

  • Mariarosaria Comunale, 2019. "An Investigation of the Exchange Rate Pass-Through in the Baltic States," CAMA Working Papers 2019-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2019-60
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    File URL: https://crawford.anu.edu.au/sites/default/files/2025-01/60_2019_comunale.pdf
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    Cited by:

    1. Lian An & Mark A. Wynne & Ren Zhang, 2020. "Shock-Dependent Exchange Rate Pass-Through: Evidence Based on a Narrative Sign Approach," Globalization Institute Working Papers 379, Federal Reserve Bank of Dallas.
    2. An, Lian & Wynne, Mark A. & Zhang, Ren, 2021. "Shock-dependent exchange rate pass-through: Evidence based on a narrative sign approach for Japan," Journal of International Money and Finance, Elsevier, vol. 118(C).
    3. Andrejs Zlobins, 2023. "Is There a Portfolio Rebalancing Channel of QE in Latvia?," Working Papers 2023/05, Latvijas Banka.

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    Keywords

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    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F3 - International Economics - - International Finance
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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