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A Peer-reviewed scientific articles/A1 Journal article (refereed), original research

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The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors, Research in International Business and Finance April (2018). Comunale, Mariarosaria; Simola, Heli


Category A Peer-reviewed scientific articles
Sub-category A1 Journal article (refereed), original research
auki Internal authors
Simola Heli / The Bank of Finland Institute for Economies in Transition (BOFIT)
All authors as text Comunale, Mariarosaria; Simola, Heli 
Number of authors 2 
Status Published
Year of publication 2018 
Date 18.04.2018 
Name of article The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors 
Name of journal Research in International Business and Finance
Volume of issue 44 
Number of issue April 
Pages 186–217 
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.
Free text descriptor in Finnish valuuttakurssit; hinnat; IVY-maat; inflaatio 
Free text descriptor in English Commonwealth of independent states, Exchange rate pass-through, Commodity prices, Dynamic panel data, Inflation, Exchange rates, Cross-sectional dependence, Financial cycle 
JEL-codes C38, E31, F31 
ISSN / e-ISSN 0275-5319 
auki Internet addresses
Additional information Available online 20 July 2017
Notes BOFIT DP 16/2016 
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