Exchange rate pass-through to Estonian prices
The objective of the paper is to further our understanding of the relationship between changes in the nominal exchange rate and prices in a small open economy. The paper uses data from 1995 Q1-2003 Q1 for Estonia to investigate the exchange rate pass-through to import, producer and consumer prices, both total and disaggregated. Although the currency board arrangement eliminates exchange rate fluctuations from a very significant share of the Estonian effective currency basket, the remaining variation in the nominal exchange rate can be regarded as exogenous (determined by the anchor currency), a useful feature when estimating the pass-through. In the case of import unit values, the pass-through tends to be statistically significant for textiles and commodity-type goods, such as petroleum, non-metal mineral products and basic metals. In the case of producer prices, the long-run pass-through is evident in textiles and chemical products. Point estimates of the long-run pass-through to aggregate import and producer prices fall between 40 and 50%, though the precision of these estimates is low. In contrast, no significant exchange rate pass-through is estimated to consumer prices, measured by total CPI or its tradable component.
Year of publication: |
2003-12-10
|
---|---|
Authors: | Dabušinskas, Aurelijus |
Institutions: | Eesti Pank |
Saved in:
freely available
Saved in favorites
Similar items by person
-
The impact of volatility on economic growth
Dabušinskas, Aurelijus, (2013)
-
New Keynesian Phillips curve for Estonia, Latvia and Lithuania
Dabušinskas, Aurelijus, (2007)
-
Dabušinskas, Aurelijus, (2005)
- More ...