Exchange Rate Pass-Through into German Import Prices – A Disaggregated Perspective

Joscha Beckmann, Florian Verheyen and Ansgar Belke

No 201306, ROME Working Papers from ROME Network

Abstract: This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also cointegration techniques to carefully distinguish between shortrun and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.

Keywords: exchange rate pass-through; Germany; cointegration; time-varying coefficient model (search for similar items in EconPapers)
JEL-codes: E31 F10 F14 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2013-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Exchange rate pass-through into German import prices - a disaggregated perspective (2014)
Working Paper: Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective (2013)
Working Paper: Exchange rate pass-through into German import prices - a disaggregated perspective (2013)
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