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Asymmetries in the exchange rate pass-through into Romanian price indices

  • Cozmanca,Bogdan-Octavian

    ()

    (Academy of Economic Studies Bucharest and 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 had been detected.

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Paper provided by Institute for Economic Forecasting in its series Working Papers of Macroeconomic Modelling Seminar with number 092201.

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Length: 34 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:rjr:wpmems:092201
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  1. 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.
  2. Ehrmann, Michael & Ellison, Martin & Valla, Natacha, 2003. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Economics Letters, Elsevier, vol. 78(3), pages 295-299, March.
  3. Kenneth A. Froot & Paul Klemperer, 1989. "Exchange Rate Pass-Through When Market Share Matters," NBER Working Papers 2542, National Bureau of Economic Research, Inc.
  4. 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.
  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. Jonathan McCarthy, 2007. "Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 511-537, Fall.
  7. Hahn, Elke, 2003. "Pass-through of external shocks to euro area inflation," Working Paper Series 0243, European Central Bank.
  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. 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.
  10. Dornbusch, Rudiger, 1987. "Exchange Rates and Prices," American Economic Review, American Economic Association, vol. 77(1), pages 93-106, March.
  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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