{"id":1522,"date":"2023-02-13T16:19:18","date_gmt":"2023-02-13T16:19:18","guid":{"rendered":"https:\/\/www.fiw.ac.at\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/"},"modified":"2023-02-13T16:19:18","modified_gmt":"2023-02-13T16:19:18","slug":"the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis","status":"publish","type":"publication","link":"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/","title":{"rendered":"The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis"},"content":{"rendered":"\nThis paper investigates whether the exchange rate pass-through (ERPT) to CPI inflation is a nonlinear phenomenon for five heavily indebted euro area (EA) countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the existence of nonlinearity with respect to sovereign bond yield spreads (versus German) as an indicator of confidence crisis\/macroeconomic instability. Our results provide strong evidence that the extent of ERPT is higher in periods of macroeconomic distress, i.e. when sovereign bond yield spreads exceed some threshold. For all the GIIPS countries, we reveal that the increasing of macroeconomic instability and the loss of confidence during the recent sovereign debt crisis has entailed a higher sensibility of CPI inflation to exchange rate movements.\n\n","protected":false},"featured_media":0,"menu_order":0,"template":"","jelcode":[27,72,40],"keyword":[74,452,728],"class_list":["post-1522","publication","type-publication","status-publish","hentry","jelcode-c22","jelcode-e31","jelcode-f31","keyword-exchange-rate-pass-through","keyword-inflation","keyword-smooth-transition-regression"],"acf":{"year":2013,"month":6,"day":"","volume":"","number":"123","pages":25,"reviewed":"0","citeid":"FIW_WP_123","fiwseries":"FIW Working Papers","event":null},"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v23.4 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis - FIW<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis - FIW\" \/>\n<meta property=\"og:description\" content=\"This paper investigates whether the exchange rate pass-through (ERPT) to CPI inflation is a nonlinear phenomenon for five heavily indebted euro area (EA) countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the existence of nonlinearity with respect to sovereign bond yield spreads (versus German) [&hellip;]\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/\" \/>\n<meta property=\"og:site_name\" content=\"FIW\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.fiw.ac.at\/wp-content\/uploads\/2023\/03\/wifo_fiw_logo_short_rgb.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"843\" \/>\n\t<meta property=\"og:image:height\" content=\"293\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@CentreFiw\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/\",\"url\":\"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/\",\"name\":\"The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis - FIW\",\"isPartOf\":{\"@id\":\"https:\/\/www.fiw.ac.at\/en\/#website\"},\"datePublished\":\"2023-02-13T16:19:18+00:00\",\"dateModified\":\"2023-02-13T16:19:18+00:00\",\"breadcrumb\":{\"@id\":\"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Startseite\",\"item\":\"https:\/\/www.fiw.ac.at\/en\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Publications\",\"item\":\"https:\/\/www.fiw.ac.at\/en\/publications\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.fiw.ac.at\/en\/#website\",\"url\":\"https:\/\/www.fiw.ac.at\/en\/\",\"name\":\"FIW\",\"description\":\"\",\"publisher\":{\"@id\":\"https:\/\/www.fiw.ac.at\/en\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.fiw.ac.at\/en\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.fiw.ac.at\/en\/#organization\",\"name\":\"FIW\",\"url\":\"https:\/\/www.fiw.ac.at\/en\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\/\/www.fiw.ac.at\/en\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.fiw.ac.at\/wp-content\/uploads\/2023\/03\/wifo_fiw_logo_kugel_rgb.png\",\"contentUrl\":\"https:\/\/www.fiw.ac.at\/wp-content\/uploads\/2023\/03\/wifo_fiw_logo_kugel_rgb.png\",\"width\":843,\"height\":843,\"caption\":\"FIW\"},\"image\":{\"@id\":\"https:\/\/www.fiw.ac.at\/en\/#\/schema\/logo\/image\/\"},\"sameAs\":[\"https:\/\/x.com\/CentreFiw\"]}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis - FIW","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.fiw.ac.at\/en\/publications\/the-pass-through-of-exchange-rate-in-the-context-of-the-european-sovereign-debt-crisis\/","og_locale":"en_US","og_type":"article","og_title":"The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis - FIW","og_description":"This paper investigates whether the exchange rate pass-through (ERPT) to CPI inflation is a nonlinear phenomenon for five heavily indebted euro area (EA) countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). 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