Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine
No 01/2016, Working Papers from National Bank of Ukraine, Monetary Policy and Economic Analysis Department
This paper aims to estimate the degree of exchange rate pass-through (ERPT) to domestic prices in Ukraine considering nonlinearities with respect to the size and direction of exchange rate movements, inflation environment, and business cycles. We use disaggregated consumer price data and employ a panel autoregressive distributed lag model including threshold parameters to account for nonlinearities in the ERPT mechanism. Estimation results suggest that the pass-through effect is higher from currency depreciation than in the case of appreciation for most price groups. We also find that price responsiveness to small, medium, and large exchange rate changes is nonlinear. In particular, we provide evidence that prices are sensitive to small changes, but the pass-through effect is insignificant if exchange rate movements are moderate. Furthermore, the degree of ERPT is higher in periods of extremely large depreciations, high inflationary environment, and economic slumps.
Keywords: Exchange rate pass-through; inflation; Ukraine; nonlinear ERPT; Autoregressive Distributed Lag model (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-mac, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published in Visnyk of the National Bank of Ukraine, June 2016, pages 30-42
Downloads: (external link)
Journal Article: Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine (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:ukb:wpaper:01/2016
Access Statistics for this paper
More papers in Working Papers from National Bank of Ukraine, Monetary Policy and Economic Analysis Department Contact information at EDIRC.
Bibliographic data for series maintained by Roman Pidvysotskyi ().