Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153554
Authors: 
Beirne, John
Bijsterbosch, Martin
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1120
Abstract: 
This paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European EU Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction model), we show that ERPT to consumer prices averages about 0.6 using the cointegrated VAR and 0.5 using the impulse responses. We also find that the ERPT seems to be higher for countries that have adopted some form of fixed exchange rate regime. These results are robust to alternative normalisation of the VAR and alternative ordering of the impulse responses.
Subjects: 
central and eastern Europe
Exchange Rate Pass-Through
inflation
JEL: 
E31
F31
Document Type: 
Working Paper

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