Exchange Rate Pass-Through in Romania

Gueorguiev, Nikolay

doi:10.5089/9781451855210.001

Cited by 33 publications

(22 citation statements)

References 5 publications

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“…Third, the pass-through appears to be larger against the anchor or reference currency. 27 This point is clearly demonstrated for Romania (Gueorguiev, 2003;Korhonen and Wachtel, 2005), where the pass-through is about twice as large against the dollar as against the euro. Inversely, changes in the dollar exchange rate matter little for prices in the Czech Republic and Hungary, for instance.…”

Section: Exchange Rate Pass-through In Transition Economiesmentioning

confidence: 96%

Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable

Égert¹,

MacDonald²

2009

Journal of Economic Surveys

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This paper surveys recent advances in empirical studies of the monetary transmission mechanism, with special attention to Central and Eastern Europe (CEE). Our results indicate that the strength of the exchange rate passthrough substantially declined over time mainly due to a fall in inflation rates and to some extent due to the so-called composition effect. The asset price channel is weak and is likely to remain weak because of shallow stock and private bond markets and because of low stock and bond holdings of domestic households. House prices may become an exception with booming mortgage lending and with high owner occupancy ratios. While the credit channel could be a powerful channel of monetary transmission -as new funds raised on capital markets are close to zero in CEE -it is actually not, as both commercial banks and nonfinancial corporations can escape domestic monetary conditions by borrowing from their foreign mother companies. The moderately good news, however, is that those banks and firms are influenced by monetary policy in the euro area because their parent institutions are themselves subjected to the credit channel in the euro area.

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Section: Exchange Rate Pass-through In Transition Economiesmentioning

confidence: 96%

Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable

Égert¹,

MacDonald²

2009

Journal of Economic Surveys

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“…The ADF test includes as many lags of the first difference of the error correction term as necessary to remove the autocorrelation in the residuals of the test equation (with a maximum of twelve lags). 10 The importance of production dynamics in short-run developments of the exchange rate of the Romanian leu was also highlighted by the Granger causality test results in Gueorguiev (2003) for the case of the exchange rate against the U.S. dollar. Empirica (2008) 35:195-211 203 absolute value than those found for Romania.…”

Section: Estimation Of the Monetary Model: The Case Of Romania And Tumentioning

confidence: 97%

Fundamentals, the exchange rate and prospects for the current and future EU enlargements: evidence from Bulgaria, Croatia, Romania and Turkey

2008

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“…Such an analysis could follow a VAR methodology, as employed in, e.g., Belaisch (2003), Gueorguiev (2003), or Leigh and Rossi (2002) for exchange rates or Kuijs (2002) for monetary policy transmission mechanisms, but goes beyond the scope of this paper. Note: all series are I(1) at the 5 percent uncertainty level, except Rom_St_Out, which is I(2) and SVN_St_Out and SVN_Pol, which are I(0).…”

Section: Discussionmentioning

confidence: 99%

Interest Rate Pass-Through in Romania and Other Central European Economies

Tieman

2004

IMF Working Papers

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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.Interest rate pass-through from policy interest rates to market rates and inflation has been hypothesized to play a lesser role in Romania than in other Central European transition economies. This paper tests this hypothesis and concludes that it cannot be supported by the data. Hence pass-through in Romania is concluded to be in line with that in comparable economies in the region. Moreover, the interest rate pass-through has become more pronounced over time.JEL Classification Numbers: E50, E52, E43, P24

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Exchange Rate Pass-Through in Romania

Cited by 33 publications

References 5 publications

Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable

Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable

Fundamentals, the exchange rate and prospects for the current and future EU enlargements: evidence from Bulgaria, Croatia, Romania and Turkey

Interest Rate Pass-Through in Romania and Other Central European Economies

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