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

38 Pages Posted: 17 Aug 2019

See all articles by Mariarosaria Comunale

Mariarosaria Comunale

Bank of Lithuania - Economics Department

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Date Written: August 16, 2019

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 first. 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 find 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

JEL Classification: E31, F3, F41

Suggested Citation

Comunale, Mariarosaria, An Investigation of the Exchange Rate Pass-Through in the Baltic States (August 16, 2019). CAMA Working Paper No. 60/2019. Available at SSRN: https://ssrn.com/abstract=3438052 or http://dx.doi.org/10.2139/ssrn.3438052

Mariarosaria Comunale (Contact Author)

Bank of Lithuania - Economics Department ( email )

Totoriu 4
Vilnius, LT-01121
Lithuania

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