Exchange rate pass-through and Southeast European economies

Kurtović, Safet; Siljković, Boris; Denić, Nebojša; Petković, Dalibor; Mladenović, Svetlana Sokolov; Mladenović, Igor; Milovančević, Miloš

doi:10.1016/j.physa.2018.03.005

Cited by 14 publications

(15 citation statements)

References 30 publications

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“…The empirical assessment of the ERPT is based widely-used model by Goldberg and Knetter (1997), Coldber (2002, 2005) and Bailliu and Fujii (2004) (Kurtovic et al, 2018):…”

Section: Empirical Modelmentioning

confidence: 99%

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Exchange rate pass-through to import prices: Evidence from Serbia

Kurtović

2019

Econ Bus Lett

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In this paper we estimated the degree of exchange rate pass-through (ERPT) into aggregate import prices in Serbia. ERPT was determined by application of single equation, cointegration approach (ARDL model), error correction term (ECM) and VAR Granger Causality tests. We based our research on data from 2008Q1 to 2014Q4. The results of our research show partial pass-through in the short run; in the long run pass-through was not observed. In addition to that, we found that appreciation of the nominal effective exchange rate (NEER) led to significant pass-through asymmetry in the short run.

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“…The empirical assessment of the ERPT is based widely-used model by Goldberg and Knetter (1997), Coldber (2002, 2005) and Bailliu and Fujii (2004) (Kurtovic et al, 2018):…”

Section: Empirical Modelmentioning

confidence: 99%

“…By incorporating the variables into the equation 1, we obtain the equation 3that reflects the asymmetry in fluctuations of currency exchange rates (Kurtovic et al, 2018):…”

Section: Empirical Modelmentioning

confidence: 99%

Exchange rate pass-through to import prices: Evidence from Serbia

Kurtović

2019

Econ Bus Lett

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“…Earlier studies focused on the microeconomic approach, while the latter research focused on the macroeconomic approach. In microeconomic factors, we included industrial organizational models, substitution between import and domestic products, the determination of the pricing strategy of monopolistic companies at the industrial and product degree (Dornbusch, 1987;Goldberg & Knetter, 1997;Kurtović et al, 2018), while macroeconomic factors included exchange rate variability, inflation, market openness, monopolistic competition, etc. (Menon, 1995;Taylor, 2000;Devereux et al, 2004;María-Dolores, 2010).…”

Section: Introductionmentioning

confidence: 99%

“…(Menon, 1995;Taylor, 2000;Devereux et al, 2004;María-Dolores, 2010). The degree of exchange rate pass-through (ERPT) depends on economic shocks, nominal exchange rate volatility, the importing country's shifts in demand, market structure, economic openness, market segmentation, and aggregate imports (Kurtović et al, 2018). The import price ERPT elasticity ranges from 0% to 100%, depending on the exporter's pricing strategy (Brun-Aguerre et al, 2012).…”

Section: Introductionmentioning

confidence: 99%

“…The econometric techniques we used have enabled us to measure the effects of ERPT on aggregate import prices in the short-and long-run. The majority of existing research has used Johansen's cointegration techniques and the vector autoregressive model (VAR) (Kurtović et al, 2018). However, the disadvantages of these econometric techniques are explained in Methodology and Data.…”

Section: Introductionmentioning

confidence: 99%

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Exchange Rate Pass-Through into Import Prices of Croatia

Kurtović

Sehic-Krslak

Halili

et al. 2018

Naše Gospodarstvo/Our Economy

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The main goal of this paper is to examine the influence of macro factors and the degree of the exchange rate pass-through (ERPT) on aggregate and disaggregate import prices of the industrial sectors in the short- and long-run. The study is based on a model used by Campa and Goldberg (2002) and Campa et al. (2005). The ERPT is determined by applying the single equation and the cointegration approach (autoregressive distributed lag model [ARDL]), vector decomposition, and data over the period from 2002Q1 to 2016Q4. In the long-run, the ERPT is complete for the aggregate import and for the industrial sector beverages and tobacco. In the short-run, the ERPT is incomplete for the aggregate import and for majority of industrial sectors. Further, we have discovered that the degree of the ERPT is higher with heterogeneous products than with homogeneous products. Due to the inaccessibility of data for micro factors, we were not able to determine their effect on import prices. The results of our research can help economic policymakers to create adequate measures in the field of economic policies that will improve the competitiveness of the economy. Finally, this paper identified the effect of the volatility degree of the ERPT on the disaggregate import prices of industrial sectors that has not been sufficiently explored so far.

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Asymmetric exchange rate pass‐through into import prices of Slovenia's manufacturing sector

et al. 2020

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The goal of this paper is to estimate the asymmetry of exchange rate pass‐through into aggregate and disaggregate import prices and the composition of imports of Slovenia's manufacturing sectors. We used the nonlinear autoregressive distributed lag model and the monthly data from 2007:M1 to 2017:M12. We found that, in the long run, there was an asymmetry in the complete pass‐through into aggregate import prices due to currency appreciation. Moreover, we found that for 6 out of 14 manufacturing sectors, there was a long‐run asymmetry complete and partial pass‐through due to the appreciation of the nominal effective exchange rate. Compared with depreciation, long‐run appreciation has a stronger impact on aggregate and disaggregate import prices of the manufacturing sectors. On the other hand, we found that there was a short‐run asymmetry due to depreciation in the complete and partial pass‐through for the majority of manufacturing sectors. Compared with appreciation, short‐run depreciation has a stronger impact on aggregate and disaggregate import prices of the manufacturing sectors. The degree of asymmetric pass‐through is higher for aggregate and disaggregate import prices of the manufacturing sectors compared to the degree of symmetric pass‐through. Finally, we confirmed that the degree of pass‐through is higher for homogenous products than for heterogeneous products.

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Exchange rate pass-through and Southeast European economies

Cited by 14 publications

References 30 publications

Exchange rate pass-through to import prices: Evidence from Serbia

Exchange rate pass-through to import prices: Evidence from Serbia

Exchange Rate Pass-Through into Import Prices of Croatia

Asymmetric exchange rate pass‐through into import prices of Slovenia's manufacturing sector

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