Ruhr Economic Papers

Ruhr Economic Papers #427

Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective

by Joscha Beckmann, Ansgar Belke and Florian Verheyen

University of Duisburg-Essen, 07/2013, 28 S./p., 8 Euro, ISBN 978-3-86788-483-9 DOI: 10.4419/86788483

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Abstract

This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also cointegration techniques to carefully distinguish between shortrun and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run passthrough shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.

JEL-Classification: E31, F10, F14

Keywords: Exchange rate pass-through; Germany; cointegration; time-varying coefficient model

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