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Exchange Rate Pass-through Into German Import Prices
Joscha BeckmannAnsgar BelkeFlorian Verheyen
其他書名
A Disaggregated Perspective
出版RUB, Department of Economics, 2013
ISBN38678848389783867884839
URLhttp://books.google.com.hk/books?id=6EMkzwEACAAJ&hl=&source=gbs_api
註釋This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also co-integration techniques to carefully distinguish between short-run and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.