Exchange Rate Pass-through in Central and Eastern European Member States

Arbeitspapier

This paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European EU Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we show that ERPT to consumer prices averages about 0.6 using the cointegrated VAR and 0.5 using the impulse responses. We also find that the ERPT seems to be higher for countries that have adopted some form of fixed exchange rate regime. These results are robust to alternative normalisation of the VAR and alternative ordering of the impulse responses.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1120

Classification and Topics

• Classification: Wirtschaft ; Price Level; Inflation; Deflation ; Foreign Exchange
• Subject: central and eastern Europe ; Exchange Rate Pass-Through ; inflation ; Exchange Rate Pass-Through ; Verbraucherpreisindex ; VAR-Modell ; Osteuropa

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Beirne, John ; Bijsterbosch, Martin
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/153554
• Last update: 10.03.2025, 11:43 AM CET