Detail publikace

Exchange Rate Pass-Through in an Emerging Market: The Case of the Czech Republic

Autor: PhDr. Jan Hájek Ph.D.,
prof. Roman Horváth Ph.D.,
Typ: IES Working Papers
Rok: 2015
Číslo: 8
Publikováno v: IES Working Papers 8/2015
Místo vydání: Prague
Klíčová slova: exchange rate pass-through, Czech Republic, inflation, vector autoregression
JEL kódy: E31, E52, E58, F31
Citace: Hajek J., Horvath R. (2015). “Exchange Rate Pass-Through in an Emerging Market: The Case of the Czech Republic” IES Working Paper 8/2015. IES FSV. Charles University.
Abstrakt: We examine exchange rate pass-through, or how domestic prices respond to exchange rate shocks, in the Czech Republic from 1998 to 2013 by employing vector autoregression models. Using the aggregate consumer price index and its sub-components, we find that the degree of passthrough is incomplete except for food prices. The peak response occurs between 9 and 13 months after the exchange rate shock. The long-term pass-through is approximately 50% at the aggregate level. The degree of pass-through is greater for tradables than for non-tradables. The results also suggest that the exchange rate pass-through becomes slower but more complete during the financial crisis experienced in period considered.
Ke stažení: wp_2015_8_hajek_horvath




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