Exchange rate pass-through in the euro area

Mariarosaria Comunale and Davor Kunovac

No 2003, Working Paper Series from European Central Bank

Abstract: In this paper we analyse the exchange rate pass-through (ERPT) in the euro area as a whole and for four euro area members - Germany, France, Italy and Spain. For that purpose we use Bayesian VARs with identi?cation based on a combination of zero and sign restrictions. Our results emphasize that pass-through in the euro area is not constant over time - it may depend on a composition of economic shocks governing the exchange rate. Regarding the relative importance of individual shocks, it seems that pass-through is the strongest when the exchange rate movement is triggered by (relative) monetary policy shocks and the exchange rate shocks. Our shock-dependent measure of ERPT points to a large but volatile pass-through to import prices and overall very small pass-through to consumer in?ation in the euro area. JEL Classification: E31, F3, F41

Keywords: Bayesian vector autoregression; consumer prices; exchange rate pass-through; import prices; inflation (search for similar items in EconPapers)
Date: 2017-01
New Economics Papers: this item is included in nep-eec, nep-mon and nep-opm
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Citations: View citations in EconPapers (46)

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Related works:
Working Paper: Exchange Rate Pass-Through in the Euro Area (2017)
Working Paper: Exchange Rate Pass-Through in the Euro Area (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20172003

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