Exchange Rate Pass-Through in an Emerging Market: The Case of the Czech Republic

Jan Hajek and Roman Horvath

No 2015/08, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: We examine exchange rate pass-through, or how domestic prices respond to exchange rate shocks, in the Czech Republic from 1998 to 2013 by employing vector autoregression models. Using the aggregate consumer price index and its sub-components, we find that the degree of passthrough is incomplete except for food prices. The peak response occurs between 9 and 13 months after the exchange rate shock. The long-term pass-through is approximately 50% at the aggregate level. The degree of pass-through is greater for tradables than for non-tradables. The results also suggest that the exchange rate pass-through becomes slower but more complete during the financial crisis experienced in period considered.

Keywords: exchange rate pass-through; Czech Republic; inflation; vector autoregression (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 F31 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2015-04, Revised 2015-04
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon, nep-opm and nep-tra
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Citations: View citations in EconPapers (5)

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Journal Article: Exchange Rate Pass-Through in an Emerging Market: The Case of the Czech Republic (2016)
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