Long run exchange rate pass-through: Evidence from new panel data techniques
Nidhaleddine Ben Cheikh ()
MPRA Paper from University Library of Munich, Germany
This paper examines the exchange rate pass-through (ERPT) into import prices using recent panel data techniques. For a sample of 27 OECD countries, panel cointegration tests provide an evidence for the existence of long-run equilibrium relationship in pass-through equation. Following Pedroni (2001), we employ both FM-OLS and DOLS estimators and show that long-run ERPT elasticity does not exceed 0.70%. Individual estimates of ERPT are heterogeneous across 27 OECD countries, ranging from 0.23% in France to 0.98% in Poland. When we look for macroeconomic determinants of this long-run heterogeneity, we implement a panel threshold methodology as introduced by Hansen (2000). Our results indicate a regime-dependence of ERPT, that is, countries with higher inflation regime and more exchange rate volatility would experience a higher degree of pass-through.
Keywords: Exchange Rate Pass-Through; Import Prices; Panel Cointegration; Panel Threshold (search for similar items in EconPapers)
JEL-codes: F40 E31 C23 F31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://mpra.ub.uni-muenchen.de/39663/1/MPRA_paper_39663.pdf original version (application/pdf)
Journal Article: Long-run exchange rate pass-through: evidence from new panel data techniques (2012)
Working Paper: Long Run Exchange Rate Pass-Through: Evidence from New Panel Data Techniques (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:39663
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany
Address: Schackstr. 4, D-80539 Munich, Germany
Contact information at EDIRC.
Series data maintained by Ekkehart Schlicht ().