Template-Type: ReDIF-Paper 1.0
Author-Name: Mihály Hajnal
Author-X-Name-First: Mihály
Author-X-Name-Last: Hajnal
Author-Email: hajnalm@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)
Author-Name: György Molnár
Author-X-Name-First: György
Author-X-Name-Last: Molnár
Author-Email: molnargy@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)
Author-Name: Judit Várhegyi
Author-X-Name-First: Judit
Author-X-Name-Last: Várhegyi
Author-Email: varhegyij@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)

Title: Exchange rate pass - through after the crisis: the Hungarian experience

Abstract: Exchange rate movements influence prices through numerous channels. In this paper we provide empirical evidence on pass-through of exchange rate movements into consumer prices. The pass-through depends on a number of factors, and its size may vary over time. In recent years, prices have responded less to a depreciation of the exchange rate than would have been warranted by estimates conducted before the crisis. Before the crisis a 1 per cent change in the exchange rate resulted in a 0.3 per cent change in price level after two years. Currently, the pass-through is estimated to be in the range of 0.1–0.2 per cent over a two-year horizon. Both cyclical (subdued demand) and structural (decline in level of inflation) factors have contributed to the weakening of the relationship.
Length: 32 pages
Creation-Date: 2015
File-URL: http://www.mnb.hu/letoltes/mnb-op-121-final.pdf
File-Format: Application/pdf
Number: 2015/121
Classification-JEL: C32, E31, F31.
Keywords: exchange rate pass-through, inflation, time series models

Handle: RePEc:mnb:opaper:2015/121