Transmission of Exchange Rate Shocks into Domestic Inflation: The Case of the Czech Republic
Oxana Babecká-Kucharèuková ()
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Oxana Babecká-Kucharèuková: Czech National Bank, http://www.cnb.cz/cz/index.html
Authors registered in the RePEc Author Service: Oxana Babecká-Kucharčuková
Czech Journal of Economics and Finance (Finance a uver), 2009, vol. 59, issue 2, 137-152
This paper aims at estimating the exchange rate pass-through (ERPT) for the Czech Republic. The existing empirical literature does not come to a consensus about the degree of pass-through to Czech inflation. Since there is no unique approach regarding how to measure ERPT, the author uses 11 specifications, including some along the distribution chain in the spirit of McCarthy (2007). She tries to explore the properties of exchange rate shock transmission by comparing impulse responses. In addition, she tries to account for possible variation in time. Finally, she explores how the pass-through differs between tradable (3 sub-groups) and non-tradable goods. She finds that the speed of exchange rate shock trans-mission to all prices is quite high. However, in absolute terms, ERPT does not exceed 25–30 %.
Keywords: exchange rate pass-through; inflation; VAR; VECM (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 F31 (search for similar items in EconPapers)
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Working Paper: Transmission of Exchange Rate Shocks into Domestic Inflation: The Case of the Czech Republic (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:59:y:2009:i:2:p:137-152
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