Exchange rate pass-through into Romanian price indices. A VAR approach

Bogdan-Octavian Cozmanca () and Florentina Manea

Working Papers of Macroeconomic Modelling Seminar from Institute for Economic Forecasting

Abstract: This paper investigates the exchange rate pass-through (ERPT) into import prices, producer prices and several different measures of consumer price indices for the Romanian economy. In order to determine the size and describe the dynamics in ERPT the paper employs an array of econometric methods belonging to the VAR family. The methods employed are RVARs (on different price indices and/or on a rolling window) and Sign-restriction VARs (also using different consumer inflation measures). The results point to an almost complete pass-through into import prices and incomplete pass-through into producer and consumer prices. In all cases except import prices the ERPT displays a decline in magnitude over the analysed time interval.

Keywords: exchange rate; pass-through; import prices; producer prices; consumer prices; vector autoregression; sign-restriction. (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 F31 O52 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2009-11
New Economics Papers: this item is included in nep-ifn and nep-opm
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.ipe.ro/RePEc/WorkingPapers/cs21_2.pdf (application/pdf)

Related works:
Journal Article: Exchange Rate Pass-Through into Romanian Price Indices. Avar Approach (2010)
Working Paper: Exchange Rate Pass-Through into Romanian Price Indices: A VAR Approach (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rjr:wpmems:092102

Access Statistics for this paper

More papers in Working Papers of Macroeconomic Modelling Seminar from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ( this e-mail address is bad, please contact ).