The Pass-Through to Consumer Prices in CIS Economies: the Role of Exchange Rates, Commodities and Other Common Factors
Mariarosaria Comunale and
No 35, Bank of Lithuania Working Paper Series from Bank of Lithuania
This empirical study considers the pass-through of key nominal exchange rates and commodity prices to consumer prices in the Commonwealth of Independent States (CIS), taking into account the effect of idiosyncratic and common factors influencing prices. In order to do that, given the relatively short window of available quarterly observations (1999–2014), we choose heterogeneous panel frameworks and control for cross-sectional dependence. The exchange rate pass-through is found to be relatively high and rapid for CIS countries in the case of the nominal effective exchange rate, but not significant for the bilateral rate with the US dollar. We also show that global factors in combination with financial gaps and commodity prices are important. In the case of large rate swings, the exchange rate pass-through of the bilateral rate with the US dollar becomes significant and similar to that of the nominal effective exchange rate.
Keywords: Commonwealth of Independent States; Exchange Rate Pass-Through; Commodity prices; Dynamic Panel Data; Inflation; Exchange Rates; Cross-sectional dependence; Financial cycle (search for similar items in EconPapers)
JEL-codes: C38 E31 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
https://www.lb.lt/uploads/publications/docs/20780_ ... 036c87647ea5e358.pdf Full text (application/pdf)
Journal Article: The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors (2018)
Working Paper: The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:lie:wpaper:35
Access Statistics for this paper
More papers in Bank of Lithuania Working Paper Series from Bank of Lithuania Bank of Lithuania Gedimino pr. 6, LT-01103 Vilnius, Lithuania. Contact information at EDIRC.
Bibliographic data for series maintained by Povilas Lastauskas ().