Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/98643
Authors: 
Beckmann, Joscha
Belke, Ansgar
Verheyen, Florian
Year of Publication: 
2013
Series/Report no.: 
ROME Discussion Paper Series 13-06
Abstract: 
This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also cointegration techniques to carefully distinguish between shortrun and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.
Subjects: 
exchange rate pass-through
Germany
cointegration
time-varying coefficient model
JEL: 
E31
F10
F14
Document Type: 
Working Paper

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