Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230009
Authors: 
Blagov, Boris
Year of Publication: 
2019
Citation: 
[Journal:] Review of International Economics [ISSN:] 1467-9396 [Volume:] 27 [Issue:] 5 [Pages:] 1537-1572
Abstract: 
This paper analyzes the effects of exchange rate uncertainty on the pricing behavior of import firms in the euro area. Uncertainty is measured via the volatility of the structural shocks to the exchange rate in a nonlinear vector‐autoregressive model framework and is an important determinant of import prices. An increase in exchange rate uncertainty is associated with a fall in prices on average, which suggests that the exchange rate risk is borne by the importers. Controlling for the origin of imports (within or outside the euro area) is important for assessing the impact of exchange rate movements on prices.
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Document Version: 
Published Version

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