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A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...
Persistent link: https://www.econbiz.de/10012775955
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...
Persistent link: https://www.econbiz.de/10013153690
This paper estimates export and import price equations for 41 countries -including 28 emerging market economies. Further, it relates the estimated elasticities to structural factors and tests for statistical breaks in the relation between trade prices and exchange rates. Results indicate that...
Persistent link: https://www.econbiz.de/10012769846
This study investigates the degree and speed of the exchange rate pass through (ERPT) into extra-euro area import prices for the euro area aggregate and the five largest countries. Based on quarterly frequency data, the analysis covers the period 1996Q1-2015Q2. Two alternative measures of the...
Persistent link: https://www.econbiz.de/10012983079
How long does it take for exchange rate changes to pass through into inflation? Does it make a difference whether the exchange rate depreciates or appreciates? Do relatively large exchange rate changes entail more exchange rate pass-through? In this paper, we examine possible non-linearities in...
Persistent link: https://www.econbiz.de/10012844267
This paper draws a causal link between the rise of global value chain participation and the decline of exchange rate pass-through to import prices over the last decades. We first present a structural two-country model in order to illustrate how participation in global value chains can impact...
Persistent link: https://www.econbiz.de/10012859921
This paper investigates the impact of exchange rate shocks on sectoral activity and prices in the euro area. Using a VAR framework it provides evidence on the magnitude and speed of the impact of exchange rate shocks on activity in all main euro area sectors and on activity and producer prices...
Persistent link: https://www.econbiz.de/10013316897
We estimate the response of product-level retail prices to changes in the corporate tax rates paid by wholesale producers (pass-through). Under perfect competition in goods and factor markets, pass-through of corporate taxes should be zero, and their incidence mainly falls on factor prices. We...
Persistent link: https://www.econbiz.de/10014080686
This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using … show that higher public deficit volatility is typically associated with higher levels of political instability and less … democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper …
Persistent link: https://www.econbiz.de/10012764289
A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...
Persistent link: https://www.econbiz.de/10011604868