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An Investigation of the Exchange Rate Pass-Through in the Baltic States

Mariarosaria Comunale

No 469, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: In this paper, we investigate the Exchange Rate Pass-Through (ERPT) to import and consumer prices in the three Baltic states. We apply reduced form equations ?rst. Then, to look at measures of shock-dependent ERPT, we use Bayesian VARs with zero and sign restrictions and a local projection exercise, using common euro area shocks. We ?nd that results from reduced form equations are in line with the ERPT literature. As for shock-dependent ERPTs, the magnitudes are overall bigger than in the literature in the case of import prices. They get smaller for consumer prices and even smaller if we remove energy and food prices.

Keywords: Exchange Rate Pass-Through; Baltic states; Shock dependence. (search for similar items in EconPapers)
JEL-codes: E31 F3 F41 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2019-09-17, Revised 2019-09-17
New Economics Papers: this item is included in nep-eec, nep-mac and nep-ore
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Citations: View citations in EconPapers (2)

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Working Paper: An investigation of the exchange rate pass-through in the Baltic states (2019) Downloads
Working Paper: An Investigation of the Exchange Rate Pass-Through in the Baltic States (2019) Downloads
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