Time-Varying Exchange Rate Pass-through in Eastern Europe

Abstract

Using quarterly data for the 1998-2021 period, and with the application of Kalman filter estimates it is shown that the incomplete exchange rate pass-through (ERPT) is somewhat stronger for countries with a floating exchange rate regime, especially for producer prices. Since the middle of 2000s, the ERPT to consumer and producer prices for 11 Central and Eastern European (CEE) countries, as well as for the Baltic States, seems to be stable in most of the countries. With the exception of the Czech Republic, Romania, Estonia and Latvia, there is a tendency for strengthening of the ERPT to producer prices in the wake of the world financial crisis of 2008-2009.