An Investigation of the Exchange Rate Pass-Through in the Baltic States

Comunale Mariarosaria
CEIS Research Paper
In this paper, we investigate the Exchange Rate Pass-Through (ERPT) to import and consumer prices in the three Baltic states. We apply reduced form equations ?rst. Then, to look at measures of shock-dependent ERPT, we use Bayesian VARs with zero and sign restrictions and a local projection exercise, using common euro area shocks. We ?nd that results from reduced form equations are in line with the ERPT literature. As for shock-dependent ERPTs, the magnitudes are overall bigger than in the literature in the case of import prices. They get smaller for consumer prices and even smaller if we remove energy and food prices.

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Number: 469
Keywords: Exchange Rate Pass-Through, Baltic states, Shock dependence
JEL codes: E31,F3,F41.
Volume: 17
Issue: 08
Date: Tuesday, September 17, 2019
Revision Date: Tuesday, September 17, 2019