Exchange Rate Pass-through in Central and Eastern European Member States

Martin Bijsterbosch and John Beirne

No 1120, Working Paper Series from European Central Bank

Abstract: This paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European EU Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we show that ERPT to consumer prices averages about 0.6 using the cointegrated VAR and 0.5 using the impulse responses. We also find that the ERPT seems to be higher for countries that have adopted some form of fixed exchange rate regime. These results are robust to alternative normalisation of the VAR and alternative ordering of the impulse responses. JEL Classification: E31, F31

Keywords: Central and Eastern Europe; exchange rate pass-through; inflation (search for similar items in EconPapers)
Date: 2009-12
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mon, nep-opm and nep-tra
Note: 339019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Related works:
Journal Article: Exchange rate pass-through in central and eastern European EU Member States (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20091120

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