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| Nidhaleddine Ben cheikh |
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| ''Long-run exchange rate pass-through: evidence from new panel data techniques'' |
| ( 2012, Vol. 32 No.3 ) |
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| This paper examines the exchange rate pass-through (ERPT) into import prices using recent panel data techniques. For a sample of 27 OECD countries, panel cointegration tests provide an evidence for the existence of long-run equilibrium relationship in pass-through equation. Following Pedroni (2001), we employ both FM-OLS and DOLS estimators and show that long-run ERPT elasticity does not exceed 0.70%. Individual estimates of ERPT are heterogeneous across 27 OECD countries, ranging from 0.23% in France to 0.98% in Poland. When we look for the macroeconomic determinants of this long-run heterogeneity, we implement a panel threshold methodology as introduced by Hansen (2000). Our results indicate a regime-dependence of ERPT, that is, countries with higher inflation regime and more exchange rate volatility would experience a higher degree of pass-through. |
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| Keywords: Exchange Rate Pass-Through, Import Prices, Panel Cointegration, Panel Threshold |
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| Manuscript Received : Jul 01 2012 | | Manuscript Accepted : Jul 03 2012 |
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