- European Central Bank publications
Non-linear exchange rate pass-through to euro area inflation: A local projection approach
Number | 138 |
Date | December 2019 |
Author | Roberta Colavecchio and Ieva Rubene |
Résumé | How long does it take for exchange rate changes to pass through into in flation? Does it make a difference whether the exchange rate depreciates or appreciates? Do relatively large exchange rate changes entail more exchange rate pass-through? In this paper, we examine possible non-linearities in the transmission of exchange rate movements to import and consumer prices in all 19 euro area countries as well as the euro area as a whole from 1997 to 2019Q1. We extend a standard single-equation linear framework with additional interaction terms to account for possible non-linearities and apply local projections to obtain state-dependent impulse response functions. We fnd that (i) euro area consumer and import |
Download | Working paper 138 (pdf, 4 MByte) |