Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288350 
Authors: 
Year of Publication: 
2020
Citation: 
[Journal:] Empirical Economics [ISSN:] 1435-8921 [Volume:] 61 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 61-100
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
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.
Subjects: 
Exchange rate pass-through
Import prices
Panel cointegration
Cross-sectional dependence
Common factors
JEL: 
C12
C23
F31
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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