Exchange rate pass-through and cross-country spillovers: Some evidence from Ukraine and Russia

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dc.contributor Bank of Finland
dc.contributor.author Faryna, Oleksandr
dc.date.accessioned 2016-10-07T08:16:09Z
dc.date.available 2016-10-07T08:16:09Z
dc.date.issued 2016
dc.identifier.isbn 978-952-323-130-6
dc.identifier.issn 1456-5889
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/14368
dc.description.abstract ​This paper studies exchange rate pass-through to consumer prices in Ukraine and Russia considering cross-country linkage and spillover effects. We relax the assumption of “isolated islands” and employ a bilateral panel VAR (BPVAR) approach to estimate a pass-through effect from the ruble to hryvnia exchange rate (UAH/RUB) movements, taking into account cross-unit hetero-geneities as well as dynamic and static interdependencies. We then compare BPVAR estimates with those from individual VAR models and find that, while results for Russia do not change significantly, spillover effects are identified for Ukraine. In particular, ruble depreciation (e.g. hryvnia appreciation) results in increasing Ukrainian prices instead of declining as suggested by individual VAR analysis. We also estimate alternative BPVAR including hryvnia and ruble ex-change rates with respect to the US dollar and find that prices in Ukraine respond to changes in USD/RUB to a larger extent than to UAH/USD.
dc.format.extent 30
dc.language.iso ENG
dc.relation.ispartofseries BOFIT Discussion Papers
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject Bofit-kokoelma
dc.subject SP
dc.subject RP ST
dc.subject Venäjä
dc.subject Ukraina
dc.subject.other exchange rate pass-through
dc.subject.other Ukraine
dc.subject.other Russia
dc.subject.other spillovers
dc.subject.other bilateral panel VAR
dc.title Exchange rate pass-through and cross-country spillovers: Some evidence from Ukraine and Russia
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201610071440
dc.subject.jel E31
dc.subject.jel E52
dc.subject.jel E58
dc.series.name BOFIT Discussion Papers
dc.series.year 2016
dc.series.number 14/2016
dc.series.sortingnumber 0014
dc.date.publication 6.10.2016
dc.subject.yso valuuttakurssit
dc.subject.yso hinnat
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)
dc.type.okm D4

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