The Exchange Rate Pass-Through in the New EU Member States

Posted: 14 Oct 2015

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Abstract

This paper aims to complete our understanding of the relationship between changes in nominal effective exchange rates and prices in the new EU member states. I investigate the exchange rate pass-through to import, producer and consumer prices for ten Central and Eastern European countries with quarterly data from January 1996 to December 2011. In a first step, the pass-through estimates are derived from a dynamic panel data model through the generalized method of moments. A statistically significant exchange rate pass-through to consumer, producer and import prices is found, both in the short and long run. In a second step, I proceed to an individual analysis, country by country, and find support for an increased heterogeneity in the exchange rate pass-through estimates. In a third step, I assess the drivers of the estimated exchange rate pass-through coefficients and find support for a significant impact of exchange rate volatility, inflation volatility, import dependence, and the output gap, as well as the global outlook.

Keywords: Inflation and prices, Exchange rate pass-through, GMM, International topics

JEL Classification: C33, E31, E42, E52, F31, O52

Suggested Citation

Jimborean, Ramona, The Exchange Rate Pass-Through in the New EU Member States. Economic Systems, Vol. 37, No. 2, 2013, Available at SSRN: https://ssrn.com/abstract=2673503

Ramona Jimborean (Contact Author)

Banque de France ( email )

Paris
France

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