Long-run exchange rate pass-through: evidence from new panel data techniques

Nidhaleddine Ben Cheikh ()

Economics Bulletin, 2012, vol. 32, issue 3, A24

Abstract: 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 the 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: E3 F4 (search for similar items in EconPapers)
Date: 2012-07-03
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2012/Volume32/EB-12-V32-I3-A24.pdf (application/pdf)

Related works:
Working Paper: Long run exchange rate pass-through: Evidence from new panel data techniques (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-12-00500

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().