Arbeitspapier
Measuring Long-Run Exchange Rate Pass-Through
The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a long-run Engle and Granger cointegrating relationship (between import unit values, the exchange rate and foreign prices), which is typically ignored in existing empirical studies. We use time series and up-to-date panel data techniques to test for cointegration with the possibility of structural breaks and show how the long-run may be restored in the estimation. The main finding is that allowing for possible breaks around the formation of EMU and the appreciation of the euro starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the pass-through decreased while the variable component tended to increase.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2007-32
- Klassifikation
-
Wirtschaft
International Policy Coordination and Transmission
Financial Aspects of Economic Integration
Foreign Exchange
Empirical Studies of Trade
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
exchange rates
pass-through
import prices
panel cointegration
structural break
- Ereignis
-
Geistige Schöpfung
- (wer)
-
de Bandt, Olivier
Banerjee, Anindya
Kozluk, Tomasz
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- de Bandt, Olivier
- Banerjee, Anindya
- Kozluk, Tomasz
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2007