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Differences in Exchange Rate Pass-through in the Euro Area

2002 Foreign exchange rates
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Release : 2002
Genre : Foreign exchange rates
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Book Synopsis Differences in Exchange Rate Pass-through in the Euro Area by : José Manuel Campa

Download or read book Differences in Exchange Rate Pass-through in the Euro Area written by José Manuel Campa. This book was released on 2002. Available in PDF, EPUB and Kindle. Book excerpt: Se analizan las diferencias en el cambio exterior de los países del area euro en los precios de las importaciones de fuera del área.

Exchange Rate Pass-Through in the Euro Area

2017
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Release : 2017
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Book Synopsis Exchange Rate Pass-Through in the Euro Area by : Mariarosaria Comunale

Download or read book Exchange Rate Pass-Through in the Euro Area written by Mariarosaria Comunale. This book was released on 2017. Available in PDF, EPUB and Kindle. Book excerpt: 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 identfiication based on a combination of zero and sign restrictions. Our results emphasize that pass-through in the euro area is not constant over time - it may depend on a composition of economic shocks governing the exchange rate. Regarding the relative importance of individual shocks, it seems that pass-through is the strongest when the exchange rate movement is triggered by (relative) monetary policy shocks and the exchange rate shocks. Our shock-dependent measure of ERPT points to a large but volatile pass-through to import prices and overall very small pass-through to consumer inflation in the euro area.

Exchange Rate Pass-Through in the Euro Area

2004-01-01 Business & Economics
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Release : 2004-01-01
Genre : Business & Economics
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Book Rating : 156/5 ( reviews)

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Book Synopsis Exchange Rate Pass-Through in the Euro Area by : Mr.Hamid Faruqee

Download or read book Exchange Rate Pass-Through in the Euro Area written by Mr.Hamid Faruqee. This book was released on 2004-01-01. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rate pass-through in a set of euro area prices along the pricing chain is examined. Using a vector autoregression (VAR) approach, the empirics analyze the joint time-series behavior of the euro exchange rate and a system of euro-area prices in response to an exchange rate shock. The impulse-response functions from the VAR estimates are used to identify-in a 'new open economy macroeconomics model'-those key behavioral parameters that best replicate the pattern of exchange rate pass-through in the euro area. Area-wide prices are found to display incomplete pass-through, consistent with euro currency-pricing and pricing-to-market behavior. The results are compared to those for the other major industrial economies, and suggest that, as with the United States, "expenditure-switching" effects on the current account still operate but are generally small.

Exchange-rate Pass-through to Import Prices in the Euro Area

2005 Exchange rate pass-through
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Release : 2005
Genre : Exchange rate pass-through
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Book Synopsis Exchange-rate Pass-through to Import Prices in the Euro Area by : José Manuel Campa

Download or read book Exchange-rate Pass-through to Import Prices in the Euro Area written by José Manuel Campa. This book was released on 2005. Available in PDF, EPUB and Kindle. Book excerpt: "This paper presents an empirical analysis of transmission rates from exchange rate movements to import prices, across countries and product categories, in the euro area over the last fifteen years. Our results show that the transmission of exchange rate changes to import prices in the short run is high, although incomplete, and that it differs across industries and countries; in the long run, exchange rate pass-through is higher and close to one. We find no strong statistical evidence that the introduction of the euro caused a structural change in this transmission. Although estimated point elasticities seem to have declined since the introduction of the euro, we find little evidence of a structural break in the transmission of exchange rate movements except in the case of some manufacturing industries. And since the euro was introduced, industries producing differentiated goods have been more likely to experience reduced rates of exchange rate pass-through to import prices. Exchange rate changes continue to lead to large changes in import prices across euro-area countries"--National Bureau of Economic Research web site.

Has the Exchange Rate Pass Through Recently Declined in the Euro Area?

2016
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Release : 2016
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Book Synopsis Has the Exchange Rate Pass Through Recently Declined in the Euro Area? by : Selin Özyurt

Download or read book Has the Exchange Rate Pass Through Recently Declined in the Euro Area? written by Selin Özyurt. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the degree and speed of the exchange rate pass through (ERPT) into extra-euro area import prices for the euro area aggregate and the five largest countries. Based on quarterly frequency data, the analysis covers the period 1996Q1-2015Q2. Two alternative measures of the nominal exchange rate are used: the NEER of the euro against 38 partners and the EUR/USD bilateral exchange rate.The results show that the pass through is only “partial” in the euro area, most probably reflecting slow nominal price adjustments and the pricing-to-market behaviour of firms. We find clear evidence that the degree of pass through has been declining over the past two decades. Interestingly, the period of strong fall of pass through coincides with the increasing share of the emerging countries in world trade and the accession of China to the WTO.Looking at the largest euro area countries, we find striking heterogeneities in the degree but also in the speed of the ERPT. The lowest degree of pass through of a change in NEER is found for Germany while it is the highest for Italy. In addition, unlike the other large euro area countries, we do not find evidence for Italy of a decline in the degree of pass through over time. In a monetary union, such differences may signal large heterogeneities in domestic markets structures.

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