Exchange Rate Pass-Through Into Import Prices In Developing Countries: An Empirical Investigation

We define and estimate an exchange rate pass-through equation for 24 developing countries. We find that long run exchange rate pass-through into import price is determined by a combination of nominal effective exchange rate, the price of the competing domestic product, the exporter's cost and domestic demand conditions. Adopting a multi-country framework and using non-stationary panel estimation techniques and tests for panel cointegration, we show that exchange rate pass-through in developing countries is heterogeneous.

Long Run Exchange Rate Pass-Through Into Import Prices In Developing Countries: An Homogeneous or Heterogeneous Phenomenon?

In this paper, we analyze the nature of long-run exchange rate pass-through in a panel of 24 developing countries. We define and estimate an exchange rate pass-through equation based on micro-foundations of pricing behaviour by exporters firms. We adopt a multi-country framework and we use non-stationary panel estimation techniques and test for panel cointegration. we show that long-run exchange rate pass-through in developing countries is an heterogeneous phenomenon.Developing countries

Exchange Rate Pass-Through Into Import Prices In Developing Countries: An Empirical Investigation

We define and estimate an exchange rate pass-through equation for 24 developing countries. We find that long run exchange rate pass-through into import price is determined by a combination of nominal effective exchange rate, the price of the competing domestic product, the exporter's cost and domestic demand conditions. Adopting a multi-country framework and using non-stationary panel estimation techniques and tests for panel cointegration, we show that exchange rate pass-through in developing countries is heterogeneous.

Exchange Rate Pass-Through and Structural Macroeconomic Shocks in Developing Countries: An Empirical Investigation.

This paper investigates the exchange rate pass-through in 12 developing countries during the period 1980-2001 by adopting a new formulation . Rather than considering the traditional approach based on the exogenous exchange rate movement through correlation between exchange rate and prices, we focus on fundamental macroeconomic shocks that a¤ect both exchange rate and prices. In order to do that, we employ long-run restrictions à la Blanchard and Quah (1989) to identify the di¤erent shocks through an open economic macroeconomic model (ISLM framework). We use two empirical methodology : Structural VECM methodology used by Jang and Ogaki (2004) and the common trends approach proposed by Warne et al (1992). This allows us to calculate the pass-through as the responses of the exchange rate, CPI and import prices to the supply, the relative demand, the nominal and the foreign prices shocks. We show that the pass-through ratio in developing countries is di¤erent when considering di¤erent structural shocks

Short-term forecasting of GDP using large monthly datasets - a pseudo real-time forecast evaluation exercise

This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with models designed to exploit early releases of monthly indicators for the nowcast and forecast of quarterly GDP growth. Amongst the latter, we consider small bridge equations and forecast equations in which the bridging between monthly and quarterly data is achieved through a regression on factors extracted from large monthly datasets. The forecasting exercise is performed in a simulated real-time context, which takes account of publication lags in the individual series. In general, we find that models that exploit monthly information outperform models that use purely quarterly data and, amongst the former, factor models perform best. JEL Classification: E37, C53.Bridge models, Dynamic factor models, real-time data flow.

Price Setting in Online Markets: Basic Facts, International Comparisons, and Cross-Border Integration

We document basic facts about prices in online markets in the United States and Canada, which is a rapidly growing segment of the retail sector. Relative to prices in regular stores, prices in online markets are more flexible and exhibit stronger pass-through (60-75 percent) and faster convergence (half-life less than two months) in response to movements of the nominal exchange rate. Multiple margins of adjustment are active in the process of responding to nominal exchange rate shocks. Properties of goods, sellers, and markets are systematically related to pass-through and the speed of price adjustment for international price differentials

Exchange Rate Pass-Through and Structural Macroeconomic Shocks in Developing Countries: An Empirical Investigation.

This paper investigates the exchange rate pass-through in 12 developing countries during the period 1980-2001 by adopting a new formulation . Rather than considering the traditional approach based on the exogenous exchange rate movement through correlation between exchange rate and prices, we focus on fundamental macroeconomic shocks that a¤ect both exchange rate and prices. In order to do that, we employ long-run restrictions à la Blanchard and Quah (1989) to identify the di¤erent shocks through an open economic macroeconomic model (ISLM framework). We use two empirical methodology : Structural VECM methodology used by Jang and Ogaki (2004) and the common trends approach proposed by Warne et al (1992). This allows us to calculate the pass-through as the responses of the exchange rate, CPI and import prices to the supply, the relative demand, the nominal and the foreign prices shocks. We show that the pass-through ratio in developing countries is di¤erent when considering di¤erent structural shocks.Exchange rate pass-through, Developing countries, Long-run restrictions, Structural VECM, Common trend, Impulse response functions

How Structural Macroeconomic Shocks Can Explain Exchange Rate Pass-Through in Developing Countries: A Common Trend Approach

This paper investigates the exchange rate pass-through in 12 developing countries during the period 1980-2001 by adopting a new formulation. Rather than considering the traditional approach based on the exogenous exchange rate movement through correlation between exchange rate and prices, we focus on fundamental macroeconomic shocks that affect both exchange rate and prices. In order to do that, we employ long-run restrictions à la Blanchard and Quah (1989) to identify the different shocks through an open economic macroeconomic model (ISLM framework). We use the common trends approach proposed by Warne et al (1992). This allows us to calculate the pass-through as the responses of the exchange rate, CPI and import prices to the supply, the relative demand, the nominal and the foreign prices shocks. We show that the pass-through ratio in developing countries is different when considering different structural shocks.