Asymmetry of the Exchange Rate Pass-Through

Przystupa, Jan; Wróbel, Ewa

doi:10.2753/eee0012-8775490103

Cited by 30 publications

(23 citation statements)

References 25 publications

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“…The short-term exchange rate pass through coefficient varies from 0.004 (for furnishings and household equipment) to 0.23 (for food and rather expensive goods, like cars), with an average pass-through of 0.05. The average pass-through in our study is slightly weaker than reported by Przystupa and Wróbel (2009) for aggregated data.…”

Section: Pass Through For Individual Goods and Services Categoriescontrasting

confidence: 97%

“…The maximum lag order for the lagged inflation has been set to 2 for all equations, which allows removing the autocorrelation without losing too much degrees of freedom. The lag order for the output gap and exchange rate has been set to 1 which fits the empirical data to the largest extent and broadly stays in line with the results for aggregated Phillips curve for Polish economy (see Przystupa and Wróbel (2009)).…”

supporting

confidence: 55%

“…The nominal effective exchange rate has been calculated as a weighted average nominal exchange rate of Polish z loty against euro and US dollar. Following Przystupa and Wróbel (2009) we set the weights at 0.7 and 0.3 respectively.…”

Section: Datamentioning

confidence: 99%

See 2 more Smart Citations

Does the Domestic Output Gap Matter for Inflation in a Small Open Economy?

Hałka

Kotłowski

2014

Eastern European Economics

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Section: Pass Through For Individual Goods and Services Categoriescontrasting

confidence: 97%

supporting

confidence: 55%

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Does the Domestic Output Gap Matter for Inflation in a Small Open Economy?

Hałka

Kotłowski

2014

Eastern European Economics

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“…Several studies have shown that ERPT is stronger for large exchange rate changes, a kind of nonlinear response typically associated with menu costs (Pollard and Coughlin, 2004;Posedel and Tica, 2009;Przystupa and Wrobel, 2011;Ben Cheikh, 2012;Bussière, 2013). Macroeconomic risk has also been identified as a factor influencing ERPT.…”

Section: Introductionmentioning

confidence: 99%

Heads I win; Tails you lose: Asymmetry in Exchange rate Pass-through into Import Prices

Brun-Aguerre¹,

Fuertes

Greenwood‐Nimmo

2016

Journal of the Royal Statistical Society Series A: Statistics in Society

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We analyse exchange rate pass-through into import prices for a large group of 33 emerging and developed economies from 1980Q1 to 2010Q4. Our error correction models permit asymmetric pass-through for currency appreciations and depreciations over three horizons of interest: on impact, in the short run and in the long run. We find that depreciations are typically passed-through more strongly than appreciations in the long-run, suggesting that exporters may exert a degree of long-run pricing power. This asymmetry is stronger in economies which are more import dependent but is moderated by freedom to trade and a positive output gap. Given that this pass-through asymmetry is welfare-reducing for consumers in the destination market, a key macroeconomic implication is that import-dependent economies, in particular, can benefit from trade liberalisation.

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“…Brun-Aguerre et al (2017) find no evidence of asymmetric long-run ERPT for Germany, France, Italy, Spain and the Netherlands; they present only weak evidence for Norway and Switzerland and strong evidence for Belgium, Denmark, Finland, Sweden and the UK Przystupa and Wrobel (2011). report no asymmetry of ERPT in Poland, while Delatte and López-Villavicencio (2012) do find such for Germany, but not for the UK.…”

mentioning

confidence: 95%

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

Arsova

2020

Empir Econ

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This paper takes a panel cointegration approach to the estimation of short-and longrun 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. Keywords Exchange rate pass-through • Import prices • Panel cointegration • Cross-sectional dependence • Common factors JEL Classification C12 • C23 • F31 The author is grateful to Boris Blagov and to the participants at the 25th International Panel Data Conference in Vilnius, Lithuania, for helpful discussions and to two anonymous referees and the Associate Editor for their constructive comments and suggestions.

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Asymmetry of the Exchange Rate Pass-Through

Cited by 30 publications

References 25 publications

Does the Domestic Output Gap Matter for Inflation in a Small Open Economy?

Does the Domestic Output Gap Matter for Inflation in a Small Open Economy?

Heads I win; Tails you lose: Asymmetry in Exchange rate Pass-through into Import Prices

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

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