Artikel

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 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.

Language: Englisch

Bibliographic citation: Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 2 ; Year: 2008 ; Issue: 2008-6 ; Pages: 1-36 ; Kiel: Kiel Institute for the World Economy (IfW)

Classification: Wirtschaft
International Policy Coordination and Transmission
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Empirical Studies of Trade
Foreign Exchange
Financial Aspects of Economic Integration

Subject: Exchange rates
pass-through
import prices
panel cointegration
structural breaks
Exchange Rate Pass-Through
Außenhandelspreis
Panel
Kointegration
Schätzung
EU-Staaten

Event: Geistige Schöpfung

(who): Kozluk, Tomasz
Banerjee, Anindya
de Bandt, Olivier

Event: Veröffentlichung

(who): Kiel Institute for the World Economy (IfW)

(where): Kiel

(when): 2008

DOI: doi:10.5018/economics-ejournal.ja.2008-6

Handle: http://hdl.handle.net/10419/18019

Last update: 10.03.2025, 11:41 AM CET

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Artikel

Associated

Kozluk, Tomasz
Banerjee, Anindya
de Bandt, Olivier
Kiel Institute for the World Economy (IfW)

Time of origin

2008

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