{"id":1616,"date":"2023-02-13T16:19:19","date_gmt":"2023-02-13T16:19:19","guid":{"rendered":"https:\/\/www.fiw.ac.at\/publications\/long-run-exchange-rate-pass-through-a-panel-cointegration-approach\/"},"modified":"2023-02-13T16:19:19","modified_gmt":"2023-02-13T16:19:19","slug":"long-run-exchange-rate-pass-through-a-panel-cointegration-approach","status":"publish","type":"publication","link":"https:\/\/www.fiw.ac.at\/en\/publications\/long-run-exchange-rate-pass-through-a-panel-cointegration-approach\/","title":{"rendered":"Long Run Exchange Rate Pass-Through: A Panel Cointegration Approach"},"content":{"rendered":"\nThis paper examines the extent and evolution of exchange rate pass-through (ERPT) using panel cointegration approach. For 27 OECD countries, we provide a strong evidence of incomplete ERPT in sample of 27 OECD countries. Both FM-OLS and DOLS estimators show that pass-through elasticity does not exceed 0.70%. When considering individual estimates, we note a cross-country differences in the long run ERPT. We find that inflation regime and exchange rate volatility are potential macroeconomic sources of this long-run heterogeneity. When focusing on the subsample of 12 European Monetary Union (EMU) countries, our results show a steady decline in the degree of ERPT throughout the different exchange rate arrangements: pass-through elasticity was close to unity during the &quot;snake-in-the tunnel&quot; period while it is about 0.50% since the formation of the euro area. The observed decline in ERPT to import prices was synchronous to the shift towards reduced inflation regime.\n\n","protected":false},"featured_media":0,"menu_order":0,"template":"","jelcode":[39,72,40,73],"keyword":[74,75,886],"class_list":["post-1616","publication","type-publication","status-publish","hentry","jelcode-c23","jelcode-e31","jelcode-f31","jelcode-f40","keyword-exchange-rate-pass-through","keyword-import-prices","keyword-nonstationary-panel-data"],"acf":{"year":2012,"month":4,"day":"","volume":"","number":"078","pages":41,"reviewed":"0","citeid":"FIW_WP_078","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>Long Run Exchange Rate Pass-Through: A Panel Cointegration Approach - 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\/long-run-exchange-rate-pass-through-a-panel-cointegration-approach\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Long Run Exchange Rate Pass-Through: A Panel Cointegration Approach - FIW\" \/>\n<meta property=\"og:description\" content=\"This paper examines the extent and evolution of exchange rate pass-through (ERPT) using panel cointegration approach. For 27 OECD countries, we provide a strong evidence of incomplete ERPT in sample of 27 OECD countries. Both FM-OLS and DOLS estimators show that pass-through elasticity does not exceed 0.70%. 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