Asymmetries In The Exchange Rate Pass-Through Into Romanian Price Indices

Bogdan-Octavian Cozmanca () and Florentina Manea

Journal for Economic Forecasting, 2010, issue 1, 21-44

Abstract: The article examines the asymmetries of the exchange rate pass-through (ERPT) into import, producer and consumer price indices for the Romanian economy. Using three econometric methods naturally equipped to capture various types of asymmetries (MS-VAR, TAR and SETAR), important asymmetries with respect to sign and size of the exchange rate, size of inflation and time period have been detected.

Keywords: exchange rate; pass-through; import prices; producer prices; consumer prices; vector autoregression; asymmetries; MS-VAR; TAR; SETAR (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 F31 O52 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2010:i:1:p:21-44

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