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.
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.
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.
Download or read book Are Non Euro Area EU Countries Importing Low Inflation from the Euro Area written by Mr.Plamen Iossifov and published by International Monetary Fund. This book was released on 2014-10-22 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The synchronized disinflation across Europe since end-2011 raises the question of whether non-euro area EU countries are affected by the undershooting of the euro area inflation target. To shed light on this issue, we estimate an open-economy, New Keynsian Phillips curve, in which we control for imported inflation. Regression results suggest that falling food and energy prices have been the main disinflationary driver. But low core inflation in the euro area has also had a clear and significant impact. Countries with more rigid exchange-rate regimes and higher share of foreign value added in domestic demand have been more affected. The scope for monetary response to low inflation in non-euro area EU countries depends on concerns about financial stability and unanchoring of inflationary expectations, as well as on exchange rate regime and capital flows dynamics.
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.
Download or read book Exchange Rate Pass through and Inflation written by Mototsugu Shintani and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Exchange Rate Pass through Into Euro area Inflation written by Lorenzo Burlon and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Understanding Euro Area Inflation Dynamics Why So Low for So Long written by Mr.Yasser Abdih and published by International Monetary Fund. This book was released on 2018-08-22 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite closing output gaps and tightening labor markets, inflation has remained low in the euro area. Based on an augmented Phillips Curve framework, we find that this phenomenon—sometimes attributed to low global inflation—has been primarily caused by a remarkable persistence of inflation, keeping it low despite the reduction in slack. This feature is shown to be specific to the euro area (in comparison with the United States). Monetary policy needs to stay accommodative to help guide inflation back to target.
Download or read book Exchange Rate Pass through in the Euro Area written by Hamid Faruqee and published by . This book was released on 2004 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Download or read book Non linear Exchange Rate Pass through in Emerging Markets written by and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates exchange rate pass-through to consumer prices in emerging markets focusing on non-linearities and asymmetries. We document non-linearities and asymmetries in the transmission of exchange rate fluctuations to prices using local projection techniques to obtain state dependent impulse responses in a panel of 28 emerging markets. We find significant evidence of non-linearities during episodes of depreciation greater than 10 and 20 percent. More specifically, we find that, after one month, the exchange rate pass-through coefficient is equal to 18 and 25 percent respectively, compared to a coefficient of 6 percent in the linear case. We also investigate the role of temporary vs. permanent shocks and the adoption of an inflation targeting regime in the transmission from exchange rate movements to prices. We perform a set of robustness checks, addressing the presence of outliers and potential endogeneity concerns.--Abstract.
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.
Download or read book Non linear Exchange Rate Pass through in Emerging Markets written by Francesca G. Caselli and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonlinearity and Stationarity of Inflation Rates written by Su Zhou and published by . This book was released on 2010 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few studies have empirically examined the possibility of nonlinearity in inflation and tested nonlinear stationarity of the inflation rates. The present study thus intends to fill the gap. The study examines the hypothesis that, for a group of countries having exercised target-zone type stabilization policies with their inflation eventually converging to similar low levels, their inflation rates would have stationary behavior. When the sample includes periods where inflation control is an alternative objective to other objectives of policymakers and central banks respond to inflation actively only when inflation deviations from the target range become large, non-linearity may exist in inflation. The hypothesis is tested for a sample over the floating exchange rate period for 12 European countries that formed the euro zone later in the sample period. The results suggest that the majority of these countries' inflation rates can be characterized by mean reversion during the sample period. Many of them appear to be nonlinearly stationary. This finding is essential in conducting applied economic studies for these countries, when constructing models whose validity relies on whether or not inflation is stationary.
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.
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:
