The exchange rate pass-through in the new EU member states

Ramona Jimborean

Economic Systems, 2013, vol. 37, issue 2, 302-329

Abstract: This paper aims to complete our understanding of the relationship between changes in nominal effective exchange rates and prices in the new EU member states. I investigate the exchange rate pass-through to import, producer and consumer prices for ten Central and Eastern European countries with quarterly data from January 1996 to December 2011. In a first step, the pass-through estimates are derived from a dynamic panel data model through the generalized method of moments. A statistically significant exchange rate pass-through to consumer, producer and import prices is found, both in the short and long run. In a second step, I proceed to an individual analysis, country by country, and find support for an increased heterogeneity in the exchange rate pass-through estimates. In a third step, I assess the drivers of the estimated exchange rate pass-through coefficients and find support for a significant impact of exchange rate volatility, inflation volatility, import dependence, and the output gap, as well as the global outlook.

Keywords: Inflation and prices; Exchange rate pass-through; GMM; International topics (search for similar items in EconPapers)
JEL-codes: C33 E31 E42 E52 F31 O52 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Working Paper: The Exchange Rate Pass-Through in the New EU Member States (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:37:y:2013:i:2:p:302-329

DOI: 10.1016/j.ecosys.2012.08.006

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