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Exchange Rate Pass-Through in Central and Eastern Europe: A Panel Bayesian VAR Approach

Author

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  • Valeriu Nalban

    (Bucharest University of Economics Studies)

Abstract

In this paper we estimate average and individual countries’ exchange rate pass-through to producer and consumer price indices in four Central and Eastern Europe countries (Romania, the Czech Republic, Hungary and Poland) within a Panel Bayesian VAR model. This method makes it possible to efficiently combine static and dynamic interrelations with any possible heterogeneity within the units. The resulting average long-run pass-through coefficients are about 0.5 for producer prices and 0.3 for consumer prices (with around 0.25 in the short run for producer prices and no immediate pass-through for consumer prices), with the estimates for Hungary and the Czech Republic generally situated above the group average and Romania and Poland below the average. Subsample estimates showed that starting in 2008 pass-through enlarged slightly, given the increased macroeconomic distress during this period, while the countries in the study display a higher endogenously determined degree of homogeneity.

Suggested Citation

  • Valeriu Nalban, 2015. "Exchange Rate Pass-Through in Central and Eastern Europe: A Panel Bayesian VAR Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(4), pages 290-306, August.
    • Handle: RePEc:fau:fauart:v:65:y:2015:i:4:p:290-306
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    File URL: http://journal.fsv.cuni.cz/storage/1335_nalban.pdf
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    Cited by:

    1. repec:zbw:bofitp:2016_014 is not listed on IDEAS
    2. Faryna, Oleksandr, 2016. "Exchange rate pass-through and cross-country spillovers: Some evidence from Ukraine and Russia," BOFIT Discussion Papers 14/2016, Bank of Finland, Institute for Economies in Transition.
    3. Cristina ANGHELESCU, 2022. "Shock-dependent Exchange Rate Pass-through into Different Measures of Price Indices in the Case of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 88-104, October.

    More about this item

    Keywords

    Panel Bayesian VAR; simulations; exchange rate pass-through; emerging economies;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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