Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154436
Authors: 
Comunale, Mariarosaria
Kunovac, Davor
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 2003
Abstract: 
In this paper we analyse the exchange rate pass-through (ERPT) in the euro area as a whole and for four euro area members - Germany, France, Italy and Spain. For that purpose we use Bayesian VARs with identi?cation based on a combination of zero and sign restrictions. Our results emphasize that pass-through in the euro area is not constant over time - it may depend on a composition of economic shocks governing the exchange rate. Regarding the relative importance of individual shocks, it seems that pass-through is the strongest when the exchange rate movement is triggered by (relative) monetary policy shocks and the exchange rate shocks. Our shock-dependent measure of ERPT points to a large but volatile pass-through to import prices and overall very small pass-through to consumer in?ation in the euro area.
Subjects: 
Bayesian vector autoregression
consumer prices
exchange rate pass-through
import prices
inflation
JEL: 
E31
F3
F41
Document Type: 
Working Paper

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