Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142001
Authors: 
Hajnal, Mihály
Molnár, György
Várhegyi, Judit
Year of Publication: 
2015
Series/Report no.: 
MNB Occasional Papers 121
Abstract: 
Exchange rate movements influence prices through numerous channels. In this paper we provide empirical evidence on pass-through of exchange rate movements into consumer prices. The pass-through depends on a number of factors, and its size may vary over time. In recent years, prices have responded less to a depreciation of the exchange rate than would have been warranted by estimates conducted before the crisis. Before the crisis a 1 per cent change in the exchange rate resulted in a 0.3 per cent change in price level after two years. Currently, the pass-through is estimated to be in the range of 0.1-0.2 per cent over a two-year horizon. Both cyclical (subdued demand) and structural (decline in level of inflation) factors have contributed to the weakening of the relationship.
Subjects: 
exchange rate pass-through
inflation
time series models
JEL: 
C32
E31
F31
Document Type: 
Working Paper

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