THE SPEED OF EXCHANGE RATE PASS-THROUGH IN ROMANIA
THE SPEED OF EXCHANGE RATE PASS-THROUGH IN ROMANIA
Author(s): Irina Marilena BanSubject(s): National Economy, Public Finances
Published by: Alma Mater & Universitatea »Babes Bolyai« Cluj - Facultatea de St. Economice si Gestiunea Afacerilor
Keywords: exchange rate pass-through; consumer prices; cross-correlation function; GARCH models;
Summary/Abstract: Based on the monthly evolution of consumer prices and nominal effective exchange rate from 1996 to 2017, we investigated the speed of exchange rate passthrough in Romania. We employed the cross-correlation function methodology, estimating univariate GARCH models for both inflation rate and exchange rate. The results indicate that there is only a variance causality between the variables, meaning that nominal exchange rate fluctuations cause significant inflation rate variations. This transmission process may baffle the efforts of policy makers in targeting inflation for Romania.
Journal: Review of Economic Studies and Research Virgil Madgearu
- Issue Year: XI/2018
- Issue No: 1
- Page Range: 21-40
- Page Count: 20
- Language: English
- Content File-PDF
