Exchange Rate Pass-Through in Romania

ByNikolay Gueorguiev

June 1, 2003

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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:
https://doi.org/10.5089/9781451855210.001
Issue:
130
Series:
Working Paper No. 2003/130
Stock No:
WPIEA1302003
ISBN:
9781451855210
ISSN:
1018-5941

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