Exchange Rate Pass-Through in Romania

Nikolay Gueorguiev

No 2003/130, IMF Working Papers from International Monetary Fund

Abstract: Quantifying the size and speed of the exchange rate pass-through to prices is important for formulating monetary policy decisions in Romania. Using a recursive VAR model, this paper finds that (i) the pass-through is large and relatively fast, accounting for a sizable fraction of inflation; (ii) the pass-through from the exchange rate against the U.S. dollar is larger, if not faster, than the one from alternative exchange rate benchmarks; and (iii) the pass-through to producer prices seems to have moderated recently, while the same cannot be said yet for consumer prices.

Keywords: WP; U.S. dollar; pass-through; Romania; VAR; inflation; distribution chain; exchange rate dynamics; U.S. dollar exchange rate; dynamics to producer price inflation; trend kink; U.S. dollar basket; exchange rate benchmark; Exchange rates; Producer prices; Consumer prices; Exchange rate pass-through (search for similar items in EconPapers)
Pages: 30
Date: 2003-06-01
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Citations: View citations in EconPapers (38)

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