Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/206671
Authors: 
Arsova, Antonia
Year of Publication: 
2019
Series/Report no.: 
Working Paper Series in Economics 384
Abstract: 
This paper takes a panel cointegration approach to the estimation of short- and long-run exchange rate pass-through (ERPT) to import prices in the European countries. Although economic theory suggests a long-run relationship between import prices and exchange rate, in recent empirical studies its existence has either been overlooked, or it has proven difficult to establish. Resorting to novel tests for panel cointegration, we find support for the equilibrium relationship hypothesis. Exchange rate pass-through elasticities, estimated by two different techniques for cointegrated panel regressions, give insight into the most recent development of the ERPT.
Subjects: 
exchange rate pass-through
import prices
panel cointegration
cross-sectional dependence
common factors
JEL: 
C12
C23
F31
Document Type: 
Working Paper

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