Exchange rate pass-through to import prices in Europe : a panel cointegration approach

by Antonia Arsova

This paper takes a panel cointegration approach to the estimation of short- and long-run exchange rate pass-through (ERPT) to import prices in the European countries. Although economic theory suggests a long-run relationship between import prices and exchange rate, in recent empirical studies its existence has either been overlooked, or it has proven difficult to establish. Resorting to novel tests for panel cointegration, we find support for the equilibrium relationship hypothesis. Exchange rate pass-through elasticities, estimated by two different techniques for cointegrated panel regressions, give insight into the most recent development of the ERPT.

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Year of publication:	[2019]
Authors:	Arsova, Antonia
Publisher:	Lüneburg : Leuphana Universität Lüneburg, Institut für Volkswirtschaftslehre
Subject:	exchange rate pass-through \| import prices \| panel cointegration \| cross-sectional dependence \| common factors \| Exchange Rate Pass-Through \| Exchange rate pass-through \| Kointegration \| Cointegration \| Außenhandelspreis \| Foreign trade price \| Panel \| Panel study \| Schätzung \| Estimation \| EU-Staaten \| EU countries \| Import \| OECD-Staaten \| OECD countries