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Non-linear exchange rate pass-through to euro area inflation: a local projection approach

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Personen und Körperschaften: Colavecchio, Roberta (VerfasserIn), Rubene, Ieva (VerfasserIn)
Titel: Non-linear exchange rate pass-through to euro area inflation: a local projection approach/ Roberta Colavecchio, Ieva Rubene
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2020]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2362 (January 2020)
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
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author Colavecchio, Roberta, Rubene, Ieva
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contents 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.
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spelling Colavecchio, Roberta VerfasserIn (DE-588)129343773 (DE-627)590165119 (DE-576)302810277 aut, Non-linear exchange rate pass-through to euro area inflation a local projection approach Roberta Colavecchio, Ieva Rubene, Frankfurt am Main, Germany European Central Bank [2020], 1 Online-Ressource (circa 30 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2362 (January 2020), 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., Rubene, Ieva VerfasserIn aut, Europäische Zentralbank Working paper series no 2362 (January 2020) 2362 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2362~ef1b6e7bfd.en.pdf Verlag kostenfrei, https://doi.org/10.2866/997922 Resolving-System kostenfrei, http://hdl.handle.net/10419/228240 Resolving-System kostenfrei, https://doi.org/10.2866/997922 LFER, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2362~ef1b6e7bfd.en.pdf LFER, LFER 2020-02-03T00:00:00Z
spellingShingle Colavecchio, Roberta, Rubene, Ieva, Non-linear exchange rate pass-through to euro area inflation: a local projection approach, Europäische Zentralbank, Working paper series, no 2362 (January 2020), 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.
title Non-linear exchange rate pass-through to euro area inflation: a local projection approach
title_auth Non-linear exchange rate pass-through to euro area inflation a local projection approach
title_full Non-linear exchange rate pass-through to euro area inflation a local projection approach Roberta Colavecchio, Ieva Rubene
title_fullStr Non-linear exchange rate pass-through to euro area inflation a local projection approach Roberta Colavecchio, Ieva Rubene
title_full_unstemmed Non-linear exchange rate pass-through to euro area inflation a local projection approach Roberta Colavecchio, Ieva Rubene
title_in_hierarchy no 2362 (January 2020). Non-linear exchange rate pass-through to euro area inflation: a local projection approach ([2020])
title_short Non-linear exchange rate pass-through to euro area inflation
title_sort non linear exchange rate pass through to euro area inflation a local projection approach
title_sub a local projection approach
url https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2362~ef1b6e7bfd.en.pdf, https://doi.org/10.2866/997922, http://hdl.handle.net/10419/228240