DSpace Repository

Measuring Long-Run Exchange Rate Pass-Through

Show simple item record

dc.creator Kozluk, Tomasz
dc.creator Banerjee, Anindya
dc.creator de Bandt, Olivier
dc.date 2008
dc.date.accessioned 2013-10-16T06:57:58Z
dc.date.available 2013-10-16T06:57:58Z
dc.date.issued 2013-10-16
dc.identifier Economics: The Open-Access, Open-Assessment E-Journal 2 2008-6 1-36 doi:10.5018/economics-ejournal.ja.2008-6
dc.identifier doi:10.5018/economics-ejournal.ja.2008-6
dc.identifier http://hdl.handle.net/10419/18019
dc.identifier ppn:560129548
dc.identifier http://www.economics-ejournal.org/economics/journalarticles/2008-6
dc.identifier RePEc:zbw:ifweej:7123
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18019
dc.description 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.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation economics - The Open-Access, Open-Assessment E-Journal 2008-6
dc.rights http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject F42
dc.subject C23
dc.subject F14
dc.subject F31
dc.subject F36
dc.subject ddc:330
dc.subject Exchange rates
dc.subject pass-through
dc.subject import prices
dc.subject panel cointegration
dc.subject structural breaks
dc.subject Exchange Rate Pass-Through
dc.subject Außenhandelspreis
dc.subject Panel
dc.subject Kointegration
dc.subject Schätzung
dc.subject EU-Staaten
dc.title Measuring Long-Run Exchange Rate Pass-Through
dc.type doc-type:article
dc.coverage 1995-2005


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

Search DSpace


Advanced Search

Browse

My Account