The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors

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dc.contributor Bank of Finland Comunale, Mariarosaria Simola, Heli 2016-11-07T12:13:52Z 2016-11-07T12:13:52Z 2016
dc.identifier.isbn 978-952-323-133-7
dc.identifier.issn 1456-5889
dc.description.abstract ​This empirical study considers the pass-through of key nominal exchange rates and commodity prices to consumer prices in the Commonwealth of Independent States (CIS), taking into account the effect of idiosyncratic and common factors influencing prices. In order to do that, given the relatively short window of available quarterly observations (1999–2014), we choose heterogeneous panel frameworks and control for cross-sectional dependence. The exchange rate pass-through is found to be relatively high and rapid for CIS countries in the case of the nominal effective exchange rate, but not significant for the bilateral rate with the US dollar. We also show that global factors in combination with financial gaps and commodity prices are important. In the case of large rate swings, the exchange rate pass-through of the bilateral rate with the US dollar becomes significant and similar to that of the nominal effective exchange rate.
dc.format.extent 49
dc.language.iso ENG
dc.relation.ispartofseries BOFIT Discussion Papers
dc.subject Bofit-kokoelma
dc.subject SP
dc.subject RP ST
dc.subject.other Commonwealth of Independent States
dc.subject.other exchange rate pass-through
dc.subject.other commodity prices
dc.subject.other dynamic panel data
dc.subject.other inflation
dc.subject.other exchange rates
dc.subject.other cross-sectional dependence
dc.subject.other financial cycle
dc.title The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201611071479
dc.subject.jel C38
dc.subject.jel E31
dc.subject.jel F31 BOFIT Discussion Papers
dc.series.year 2016
dc.series.number 16/2016
dc.series.sortingnumber 0016 4.11.2016
dc.subject.yso valuuttakurssit
dc.subject.yso kuluttajahinnat
dc.subject.yso IVY-maat
dc.subject.yso siirtymätalous
dc.subject.yso inflaatio
dc.identifier.doi 10.1016/j.ribaf.2017.07.076
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)
dc.description.publication Published in Research in International Business and Finance, Volume 44, April 2018, Pages 186–217
bof-internal.includedInCRIS 1
dc.type.okm D4

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