Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18019
Authors: 
Kozluk, Tomasz
Banerjee, Anindya
de Bandt, Olivier
Year of Publication: 
2008
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 2 [Issue:] 2008-6 [Pages:] 1-36 [DOI/URN:] doi:10.5018/economics-ejournal.ja.2008-6
Abstract: 
The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a cointegrating relationship (between import unit values, the exchange rate and foreign prices), which is typically ignored in existing empirical studies. We use time series and up-to-date panel data techniques to test for cointegration with the possibility of structural breaks and show how the long run may be restored in the estimation. The main finding is that allowing for possible breaks around the formation of EMU and the appreciation of the euro starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the pass-through decreased while the variable component tended to increase.
Subjects: 
Exchange rates
pass-through
import prices
panel cointegration
structural breaks
JEL: 
F42
C23
F14
F31
F36
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.