Exchange rate pass - through after the crisis: the Hungarian experience

Mihály Hajnal (), György Molnár () and Judit Várhegyi ()
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Mihály Hajnal: Magyar Nemzeti Bank (Central Bank of Hungary)
György Molnár: Magyar Nemzeti Bank (Central Bank of Hungary)
Judit Várhegyi: Magyar Nemzeti Bank (Central Bank of Hungary)

No 2015/121, MNB Occasional Papers from Magyar Nemzeti Bank (Central Bank of Hungary)

Abstract: Exchange rate movements influence prices through numerous channels. In this paper we provide empirical evidence on pass-through of exchange rate movements into consumer prices. The pass-through depends on a number of factors, and its size may vary over time. In recent years, prices have responded less to a depreciation of the exchange rate than would have been warranted by estimates conducted before the crisis. Before the crisis a 1 per cent change in the exchange rate resulted in a 0.3 per cent change in price level after two years. Currently, the pass-through is estimated to be in the range of 0.1–0.2 per cent over a two-year horizon. Both cyclical (subdued demand) and structural (decline in level of inflation) factors have contributed to the weakening of the relationship.

Keywords: exchange rate pass-through; inflation; time series models (search for similar items in EconPapers)
JEL-codes: C32 E31 F31 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2015
New Economics Papers: this item is included in nep-mac, nep-mon and nep-tra
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:mnb:opaper:2015/121

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