Exchange Rate Pass-Through in Romania
June 1, 2003
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Summary
Quantifying the size and speed of the exchange rate pass-through to prices is important for formulating monetary policy decisions in Romania. Using a recursive VAR model, this paper finds that (i) the pass-through is large and relatively fast, accounting for a sizable fraction of inflation; (ii) the pass-through from the exchange rate against the U.S. dollar is larger, if not faster, than the one from alternative exchange rate benchmarks; and (iii) the pass-through to producer prices seems to have moderated recently, while the same cannot be said yet for consumer prices.
Subject: Consumer prices, Exchange rate pass-through, Exchange rates, Foreign exchange, Inflation, Prices, Producer prices
Keywords: Consumer prices, distribution chain, dynamics to producer price inflation, exchange rate benchmark, exchange rate dynamics, Exchange rate pass-through, Exchange rates, inflation, pass-through, Producer prices, Romania, trend kink, U.S. dollar, U.S. dollar basket, U.S. dollar exchange rate, VAR, WP
Pages:
30
Volume:
2003
DOI:
Issue:
130
Series:
Working Paper No. 2003/130
Stock No:
WPIEA1302003
ISBN:
9781451855210
ISSN:
1018-5941
