Exchange rate pass-through into German import prices - a disaggregated perspective

Ansgar Belke, Joscha Beckmann and Florian Verheyen

VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order from Verein für Socialpolitik / German Economic Association

Abstract: This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also cointegration techniques to carefully distinguish between short-run and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.

JEL-codes: E31 F14 F41 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-mac and nep-opm
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Exchange rate pass-through into German import prices - a disaggregated perspective (2014)
Working Paper: Exchange Rate Pass-Through into German Import Prices – A Disaggregated Perspective (2013)
Working Paper: Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc13:79855

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