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Exchange Rate Pass-Through in CIS Countries

Author

Listed:
  • Elisabeth Beckmann

    (Oesterreichische Nationalbank, Foreign Research Division, POB 61, A-1011 Vienna, Austria)

  • Jarko Fidrmuc

    (Zeppelin University, Am Seemoser Horn 20, D-88045 Friedrichshafen, Germany)

Abstract

We analyze exchange rate pass-through in seven CIS countries using monthly data from 1999 to 2010. In the short run, VAR models estimates show that exchange rate movements in the US dollar affect consumer prices to a relatively high degree (about 50%), while the Euro exchange rate is less important. Moreover, short-run exchange rate pass-through is very heterogeneous across countries. In particular, countries with high-energy imports from Russia generally have higher exchange rate pass-through. In the long run, panel cointegration results show pass-through rates of 60% and above for both the US dollar and Euro exchange rates.

Suggested Citation

  • Elisabeth Beckmann & Jarko Fidrmuc, 2013. "Exchange Rate Pass-Through in CIS Countries," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 55(4), pages 705-720, December.
    • Handle: RePEc:pal:compes:v:55:y:2013:i:4:p:705-720
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    Citations

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    Cited by:

    1. repec:zbw:bofitp:2016_014 is not listed on IDEAS
    2. Oleksandr Faryna, 2016. "Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 236, pages 30-42, June.
    3. repec:zbw:bofitp:2018_017 is not listed on IDEAS
    4. Oleksandr Faryna & Heli Simola, 2018. "The Transmission of International Shocks to CIS Economies: A Global VAR Approach," Working Papers 04/2018, National Bank of Ukraine.
    5. Comunale, Mariarosaria & Simola, Heli, 2018. "The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors," Research in International Business and Finance, Elsevier, vol. 44(C), pages 186-217.
    6. 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.
    7. Faryna, Oleksandr & Simola, Heli, 2018. "The transmission of international shocks to CIS economies: A Global VAR approach," BOFIT Discussion Papers 17/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Vugar Rahimov & Nigar Jafarova & Fuad Ganbarov, 2017. "The Exchange Rate Pass-Through to CPI and its components in Oil-Exporting CIS Countries," IHEID Working Papers 06-2017, Economics Section, The Graduate Institute of International Studies.
    9. Roman Kopych & Viktor Shevchuk, 2023. "Time-Varying Impact of Commodity Prices on Output Growth and Inflation in the Eastern European Countries," Commodities, MDPI, vol. 3(1), pages 1-17, December.
    10. Comunale, Mariarosaria & Simola, Heli, 2018. "The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors," Research in International Business and Finance, Elsevier, vol. 44(C), pages 186-217.
    11. Anton Grui & Nicolas Aragon & Oleksandr Faryna & Dmytro Krukovets & Kateryna Savolchuk & Oleksii Sulimenko & Artem Vdovychenko & Oleksandr Zholud, 2023. "Between russian Invasions: The Monetary Policy Transmission Mechanism in Ukraine in 2015-2021," Working Papers 02/2023, National Bank of Ukraine.
    12. repec:zbw:bofitp:2016_016 is not listed on IDEAS

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