Asymmetries In The Exchange Rate Pass-Through Into Romanian Price Indices

by Cozmānca, Bogdan Octavian and Manea, Florentina
Published in Romanian Journal of Economic Forecasting
, 2010, volume 13 issue 1, 21-44

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The article examines the asymmetries of the exchange rate pass-through (ERPT) into import, producer and consumer price indices for the Romanian economy. Using three econometric methods naturally equipped to capture various types of asymmetries
(MS-VAR, TAR and SETAR), important asymmetries with respect to sign and size of the exchange rate, size of inflation and time period have been detected.

Keywords: exchange rate, pass-through, import prices, producer prices, consumer prices, vector autoregression, asymmetries, MS-VAR, TAR, SETAR
JEL Classification:
C32, E31, E52, F31, O52