Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/120412
Authors: 
Hájek, Jan
Horváth, Roman
Year of Publication: 
2015
Series/Report no.: 
IES Working Paper 8/2015
Abstract: 
We examine exchange rate pass-through, or how domestic prices respond to exchange rate shocks, in the Czech Republic from 1998 to 2013 by employing vector autoregression models. Using the aggregate consumer price index and its sub-components, we find that the degree of passthrough is incomplete except for food prices. The peak response occurs between 9 and 13 months after the exchange rate shock. The long-term pass-through is approximately 50% at the aggregate level. The degree of pass-through is greater for tradables than for non-tradables. The results also suggest that the exchange rate pass-through becomes slower but more complete during the financial crisis experienced in period considered.
Subjects: 
exchange rate pass-through
Czech Republic
inflation
vector autoregression
JEL: 
E31
E52
E58
F31
Document Type: 
Working Paper
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