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

Author

Listed:
  • Cozmanca,Bogdan-Octavian

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

  • Manea, Florentina

    (RBS Romania)

Abstract

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.

Suggested Citation

  • Cozmanca,Bogdan-Octavian & Manea, Florentina, 2009. "Asymmetries in the exchange rate pass-through into Romanian price indices," Working Papers of Macroeconomic Modelling Seminar 092201, Institute for Economic Forecasting.
  • Handle: RePEc:rjr:wpmems:092201
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    References listed on IDEAS

    as
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    6. Hahn, Elke, 2003. "Pass-through of external shocks to euro area inflation," Working Paper Series 243, European Central Bank.
    7. Dornbusch, Rudiger, 1987. "Exchange Rates and Prices," American Economic Review, American Economic Association, vol. 77(1), pages 93-106, March.
    8. Frederic S. Mishkin, 2008. "Exchange Rate Pass-Through And Monetary Policy," NBER Working Papers 13889, National Bureau of Economic Research, Inc.
    9. 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.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    exchange rate; pass-through; import prices; producer prices; consumer prices; vector autoregression; asymmetries; MS-VAR; TAR; SETAR.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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