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The Pass Trough Of Exchange Rate Changes To Price In The Euro Area
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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 and published by . This book was released on 2002 with total page 52 pages. 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.
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 and published by . This book was released on 2005 with total page 56 pages. 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.
Book Synopsis The Pass-trough of Exchange Rate Changes to Price in the Euro Area by : Nidhaleddine Ben Cheikh
Download or read book The Pass-trough of Exchange Rate Changes to Price in the Euro Area written by Nidhaleddine Ben Cheikh and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis highlights the macroeconomic aspect of the exchange rate pass-through to domestic prices in the euro area countries. We use a wide range of up-to-date econometric methods in order to provide robust measures of the rate of pass-through as well as to shed further light on its macro determinants. The main finding of our research is the prominent role of macroeconomic forces in driving the recent declin of the transmission of currency movements. A direct consequence of this result is that the lowering in the rate of pass-through is not necessarily a structural phenomenon and it may be solved via macroeconomic policies. For instance, the shift to a more stable monetary policy conditions with credible and anti-inflationary regime would reduce the sensibility of prices to exchange rate changes. This is especially true for countries with historically poor macroeconomic policies. Thus, a better macroeconomic management with a sounder set of policies within the EMU may be an effective tool for reducing the degree of pass-through.
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 and published by . This book was released on 2016 with total page 20 pages. 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.
Book Synopsis Monetary Policy Credibility and Exchange Rate Pass-Through by : Mr.Yan Carriere-Swallow
Download or read book Monetary Policy Credibility and Exchange Rate Pass-Through written by Mr.Yan Carriere-Swallow and published by International Monetary Fund. This book was released on 2016-12-13 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: A long-standing conjecture in macroeconomics is that recent declines in exchange rate pass-through are in part due to improved monetary policy performance. In a large sample of emerging and advanced economies, we find evidence of a strong link between exchange rate pass-through to consumer prices and the monetary policy regime’s performance in delivering price stability. Using input-output tables, we decompose exchange rate pass-through to consumer prices into a component that reflects the adjustment of imported goods at the border, and another that captures the response of all other prices. We find that price stability and central bank credibility have reduced the second component.
Book Synopsis Exchange Rate Pass-through in the Euro Area and EU Countries by : Eva Ortega
Download or read book Exchange Rate Pass-through in the Euro Area and EU Countries written by Eva Ortega and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Aggregate exchange rate pass-through (ERPT) to import and consumer prices in the EU is currently lower than it was in the 1990s and is non-linear. Low estimated aggregate ERPT to consumer prices does not at all mean that exchange rate movements do not have an impact on inflation, as aggregate rules of thumb mask substantial heterogeneities across countries, industries and time periods owing to structural, cyclical and policy factors. Looking also at new micro evidence, four key structural characteristics explain ERPT across industries or sectors: (i) import content of consumption, (ii) share of imports invoiced in own currency or in a third dominant currency, (iii) integration of a country and its trading partners in global value chains, and (iv) market power. In the existing literature there is also a robust evidence across models showing that each shock which causes the exchange rate to move has a different price response, meaning that the combination of shocks that lies behind the cycle at any point in time has an impact on ERPT. Finally, monetary policy itself affects ERPT. Credible and aggressive monetary policy reduces the observed ex post ERPT, as agents expect monetary policy to counteract deviations of inflation from target, including those relating to exchange rate fluctuations. Moreover, under the effective lower bound, credible non-standard monetary policy actions result in greater ERPT to consumer prices. This paper recommends moving away from rule-of-thumb estimates and instead using structural models with sufficient feedback loops, taking into account the role of expectations and monetary policy reactions, to assess the impact of exchange rate changes when forecasting inflation.
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 and published by INTERNATIONAL MONETARY FUND. This book was released on 2004-01-01 with total page 27 pages. 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.
Book Synopsis Has the Exchange Rate Pass Through Recently Declined in the Euro Area? by :
Download or read book Has the Exchange Rate Pass Through Recently Declined in the Euro Area? written by and published by . This book was released on 2016 with total page 18 pages. 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.
Book Synopsis Non-linear Exchange Rate Pass-through to Euro Area Inflation by : Roberta Colavecchio
Download or read book Non-linear Exchange Rate Pass-through to Euro Area Inflation written by Roberta Colavecchio and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: How long does it take for exchange rate changes to pass through into in ation? Does it make a difference whether the exchange rate depreciates or appreciates? Do relatively large exchange rate changes entail more exchange rate pass-through? In this paper, we examine possible non-linearities in the transmission of exchange rate movements to import and consumer prices in all 19 euro area countries as well as the euro area as a whole from 1997 to 2019Q1. We extend a standard single-equation linear framework with additional interaction terms to account for possible non-linearities and apply local projections to obtain state-dependent impulse response functions. We find that (i) euro area consumer and import prices respond significantly to exchange rate movements after one year, responding more when the exchange rate change is relatively large; and (ii) euro appreciations and depreciations affect the level of euro area exchange rate pass-through in a symmetric fashion; (iii) for euro area countries results differ for import and consumer prices and across countries.
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 and published by . This book was released on 2017 with total page 62 pages. 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.
Book Synopsis An Empirical Assessment of the Exchange Rate Pass-through in Mozambique by : International Monetary Fund
Download or read book An Empirical Assessment of the Exchange Rate Pass-through in Mozambique written by International Monetary Fund and published by International Monetary Fund. This book was released on 2021-05-06 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Determining the magnitude and speed of the exchange rate passthrough (ERPT) to inflation has been of paramount importance for policy-makers in developed and emerging economies. This paper estimates the exchange rate passthrough in Mozambique using econometric techniques on a sample spanning from 2001 to 2019. Results suggest that the ERPT is assymetric, sizable and fast, with 50 percent of the exchange rate variations passing through to prices in less than six months. Policy-makers should continue to pursue low and stable inflation and develop a strong track record of prudent macroeconomic policies for the ERPT to decline.
Book Synopsis Exchange Rate Pass-through and the Welfare Effects of the Euro by : Michael B. Devereux
Download or read book Exchange Rate Pass-through and the Welfare Effects of the Euro written by Michael B. Devereux and published by . This book was released on 1999 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the implications of the European single currency within a simple sticky price intertemporal model. The main issue we focus on is how the euro may alter the responsiveness of consumer prices to exchange rate changes. Our central conjectures is that the acceptance of the euro will lead European prices to become more insulated from exchange-rate volatility, much the way U.S. consumer prices already are. We show that this has profound consequences for both the volatility and levels of macroeconomic aggregates in both the U.S. and Europe. We find that European welfare is enhanced, and, more surprisingly U.S. shares in Europe's good fortune. Alternative assumptions about how pricing behavior will change lead to different conclusions, but in all cases we can derive specific implications for expected levels and volatility of macroeconomic varialbes.
Book Synopsis Sectoral Exchange Rate Pass-through in the Euro Area by :
Download or read book Sectoral Exchange Rate Pass-through in the Euro Area written by and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study exchange rate pass-through (ERPT), i.e., the impact of exchange rate movements on inflation, focusing on euro area import prices at a sectorally disaggregated level. Our estimation strategy is based on VAR-X models, thus incorporating both endogenous and exogenous explanatory variables. The impulse response functions not only allow to study the extent but also the dynamics of ERPT. We find that ERPT is heterogeneous in terms of magnitude across sectors. We further investigate what industry-specific characteristics affect the heterogeneity of ERPT. Across various model specifications including import penetration, market integration, competition and value chain integration, we find that higher market concentration and higher backward integration in global value chains decrease pass-through, in line with previous findings in the literature.
Book Synopsis Differences in Exchange Rate Pass-through in the Euro Area by : José Campa
Download or read book Differences in Exchange Rate Pass-through in the Euro Area written by José Campa and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investigating First-stage Exchange Rate Pass-through by : Nidhaleddine Ben Cheikh
Download or read book Investigating First-stage Exchange Rate Pass-through written by Nidhaleddine Ben Cheikh and published by . This book was released on 2017 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we evaluate the first-stage pass-through, namely the responsiveness of import prices to the exchange rate changes, for a sample of euro area (EA) countries. Our study aims to shed further light on the role of microeconomic factors vs. macroeconomic factors in influencing the extent of the exchange rate pass-through (ERPT). As a first step, we conduct a sectoral analysis using disaggregated import prices data. We find a much higher degree of pass-through for more homogeneous goods and commodities, such as oil and raw materials, than for highly differentiated manufactured products, such as machinery and transport equipment. Our results confirm that cross-country differences in pass-through rates may be due to divergences in the product composition of imports. The higher share of imports from sectors with lower degrees of pass-through, the lower ERPT for an economy will be. In a next step, we investigate for the impact of some macroeconomics factors or common events experienced by EA members on the extent of pass-through. Using the System Generalized Method of Moments within a dynamic panel-data model, our estimates indicate that decline of import-price sensitivity to the exchange rate is not significant since the introduction of the single currency. Our findings suggest instead that the weakness of the euro during the first three years of the monetary union significantly raised the extent of the ERPT. This outcome could explain why the sensitivity of import prices has not fallen since 1999. We also point out a significant role played by the inflation in the Eurozone, as the responsiveness of import prices to exchange rate fluctuations tends to decline in a low and more stable inflation environment. Overall, our findings support the view that the extent of pass-through is comprised of both macro- and microeconomic aspects that policymakers should take into account.
Book Synopsis Recent Movements in the Euro Exchange Rate and the Impact on Inflation in the Spanish Economy by : Danilo Leiva-Leon
Download or read book Recent Movements in the Euro Exchange Rate and the Impact on Inflation in the Spanish Economy written by Danilo Leiva-Leon and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effect of the euro exchange rate on inflation has taken on significant importance recently, with the application of the ECB's expansionary monetary policy measures having coincided with episodes of euro appreciation, such as that observed between the second half of 2017 and early 2018, which tend to exert downward pressure on imported prices. This article analyses the factors behind the fluctuations in the euro exchange rate against the dollar during the recent period, and finds that this appreciation may have largely been due to the higher relative growth of the euro area, compatible with a pick-up in expected euro area inflation. However, the subsequent depreciation, since February 2018, might reflect factors related to changes in the relative confidence of financial markets to the detriment of the euro, and to the lower relative growth of the euro area compared with the United States. Further, it is documented how the pass-through of exchange rate movements to overall consumer-price inflation in the Spanish economy has increased slightly in recent years, owing mainly to the energy component, while core inflation remains much less sensitive to exchange rate changes.
Book Synopsis Recent Estimates of Exchange Rate Pass-through to Import Prices in the Euro Area by : Nidhaleddine Ben Cheikh
Download or read book Recent Estimates of Exchange Rate Pass-through to Import Prices in the Euro Area written by Nidhaleddine Ben Cheikh and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
