Exchange rate pass-through into German import prices: A disaggregated perspective

Arbeitspapier

This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also cointegration techniques to carefully distinguish between shortrun and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ROME Discussion Paper Series ; No. 13-06

Classification and Topics

• Classification: Wirtschaft ; Price Level; Inflation; Deflation ; Trade: General ; Empirical Studies of Trade
• Subject: exchange rate pass-through ; Germany ; cointegration ; time-varying coefficient model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Beckmann, Joscha ; Belke, Ansgar ; Verheyen, Florian
• Event: Veröffentlichung
• (who): Research On Money in the Economy (ROME)
• (where): s.l.
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/98643
• Last update: 10.03.2025, 11:42 AM CET