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Exchange Rate Pass-through in Central and Eastern European Member States
Beirne, John; Bijsterbosch, Martin - 2009
This paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European EU Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction...
Persistent link: https://www.econbiz.de/10011605166
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Non-Linear Exchange Rate Pass-Through to Euro Area Inflation : A Local Projection Approach
Colavecchio, Roberta - 2020
How long does it take for exchange rate changes to pass through into inflation? Does it make a difference whether the …
Persistent link: https://www.econbiz.de/10012844267
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Exchange Rate Pass-through in Central and Eastern European Member States
Beirne, John - 2009
This paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European EU Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction...
Persistent link: https://www.econbiz.de/10013153690
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Exchange Rate Pass-Through to Trade Prices : The Role of Non-Linearities and Asymmetries
Bussière, Matthieu - 2007
A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...
Persistent link: https://www.econbiz.de/10012775955
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Exchange rate pass-through in the euro area
Comunale, Mariarosaria; Kunovac, Davor - 2017
In this paper we analyse the exchange rate pass-through (ERPT) in the euro area as a whole and for four euro area members - Germany, France, Italy and Spain. For that purpose we use Bayesian VARs with identi?cation based on a combination of zero and sign restrictions. Our results emphasize that...
Persistent link: https://www.econbiz.de/10011606048
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Exchange rate pass-through to trade prices: the role of non-linearities and asymmetries
Bussière, Matthieu - 2007
A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...
Persistent link: https://www.econbiz.de/10011604868
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Modelling inflation in China - a regional perspective
Mehrotra, Aaron N.; Peltonen, Tuomas A.; Santos Rivera, … - 2007
We model provincial inflation in China during the reform period. In particular, we are interested in the ability of the … hybrid New Keynesian Phillips Curve (NKPC) to capture the inflation process at the provincial level. The study highlights … differences in inflation formation and shows that the NKPC provides a reasonable description of the inflation process only for the …
Persistent link: https://www.econbiz.de/10011604875
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Inflation and inflation uncertainty in the euro area
Caporale, Guglielmo Maria; Paesani, Paolo; Onorante, Luca - 2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … change associated with the start of EMU in 1999. The main findings are as follows. Steadystate inflation and inflation … can achieve lower inflation uncertainty by lowering the inflation rate. …
Persistent link: https://www.econbiz.de/10011605275
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Exchange Rate Shocks and Inflation Comovement in the Euro Area
Leiva‐Leon, Danilo - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into … quarters of the past six years, especially in turning point periods. Our main results indicate that headline inflation in euro … inflation this increasing sensitivity is solely reliant on a sustained surge in the degree of comovement, for energy inflation …
Persistent link: https://www.econbiz.de/10012838756
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An international analysis of earnings, stock prices and bond yields
Durré, Alain; Giot, Pierre - 2005
This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...
Persistent link: https://www.econbiz.de/10011604561