Exchange rate pass-through to consumer prices: a European perspective

Michael Schröder and Felix P. Hüfner
Authors registered in the RePEc Author Service: Felix Huefner ()

No 02-20, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: We study the pass-through of exchange rate changes to consumer prices for the euro area by estimating vector error correction models for Germany, France, Italy, the Netherlands and Spain. Using the weights of the Harmonized Index of Consumer Prices (HICP) we compute a weighted average of the country results for the euro area. We find that in response to a ten percent depreciation of the euro nominal effective exchange rate index, the HICP tends to increase by 0,4 percent after 12 months. The total effect amounts to 0,8 percent and the adjustment of consumer prices is completed after three years.

Keywords: pass-through; inflation; exchange rate; euro area (search for similar items in EconPapers)
JEL-codes: E31 F31 F41 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (17)

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Related works:
Journal Article: Exchange Rate Pass-Through to Consumer Prices: A European Perspective (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:877

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