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Exchange Rate Pass-Through in Romania
Author:
Nikolay Gueorguiev null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2003: Issue 130
Language:
English
Publication Date:
01 Jun 2003
DOI:
https://doi.org/10.5089/9781451855210.001
ISBN:
9781451855210
ISSN:
1018-5941
Pages:
30
Keywords:
WP; U.S. dollar; pass-through; Romania; VAR; inflation; distribution chain; exchange rate dynamics; U.S. dollar exchange rate; dynamics to producer price inflation; trend kink; U.S. dollar basket; exchange rate benchmark; Exchange rates; Producer prices; Consumer prices; Exchange rate pass-through
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Quantifying the size and speed of the exchange rate pass-through to prices is important for formulating monetary policy decisions in Romania. Using a recursive VAR model, this paper finds that (i) the pass-through is large and relatively fast, accounting for a sizable fraction of inflation; (ii) the pass-through from the exchange rate against the U.S. dollar is larger, if not faster, than the one from alternative exchange rate benchmarks; and (iii) the pass-through to producer prices seems to have moderated recently, while the same cannot be said yet for consumer prices.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund