Logo
Munich Personal RePEc Archive

The Exchange Rate Pass-Through in a Cointegrated VAR Model

Ben Cheikh, Nidhaleddine and Louhichi, Waël (2013): The Exchange Rate Pass-Through in a Cointegrated VAR Model.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_53250.pdf

Download (316kB) | Preview

Abstract

This paper analyzes the exchange rate pass-through (ERPT) into consumer prices for 12 euro area (EA) countries within a cointegrated VAR (CVAR) framework. Using the Johansen cointegration procedure, results indicate the existence of one cointegrating vectors at least for each EA country of our sample. When measuring the long-run effect of exchange rate changes on consumer prices, we found a wide dispersion of ERPT elasticities, especially between “peripheral” and “core” EA economies. For instance, consumer prices rise by 84% in Portugal following one percent depreciation of exchange rate, while for the German economy the extent of pass-through is not exceeding 0.20%. Besides, the loading factors point out a very slow adjustment of consumer prices towards their long-run equilibrium across EA countries, explaining the weakness of ERPT estimates in the short-run.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.