Exchange Rate Pass-Through in Romania

Quantifying the size and speed of the exchange rate pass-through to prices is important for formulating monetary policy decisions in Romania. Using a recursive VAR model, this paper finds that (i) the pass-through is large and relatively fast, accounting for a sizable fraction of inflation; (ii) the pass-through from the exchange rate against the U.S. dollar is larger, if not faster, than the one from alternative exchange rate benchmarks; and (iii) the pass-through to producer prices seems to have moderated recently, while the same cannot be said yet for consumer prices.
Publication date: June 2003
ISBN: 9781451855210
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Money and Monetary Policy , Money and Monetary Policy , pass-through , VAR , distribution chain , exchange rate , dollar exchange rate , exchange rate dynamics , Multiple or Simultaneous Equation Models: Time-Series Models , Economywide Country Studies: Europe

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