- citati u SCIndeksu: [1]
- citati u CrossRef-u:0
- citati u Google Scholaru:[
 ]
- posete u poslednjih 30 dana:5
- preuzimanja u poslednjih 30 dana:4
|
|
|
2018, vol. 46, br. 2, str. 117-129
|
|
'Pass-through' deviznog kursa na cene u Srbiji u postkriznom periodu
Exchange rate 'pass-through' on prices in Serbia in the post-crisis period
aFaculty of Business Economics and Entrepreneurship, Belgrade bNational Bank of Serbia, Belgrade + Faculty of Business Economics and Entrepreneurship, Belgrade
e-adresa: vladimir.ristanovic@vspep.edu.rs
Sažetak
Ovaj rad prati dobro poznati pass-through efekat deviznog kursa na opšti nivo cena u privredi. Brojni ekonometrijski modeli pokazuju postojanje uticaja deviznog kursa na inflaciju. Cilj rada je da proceni koliko je jak taj efekat i da li se uticaj deviznog kursa na inflaciju u Srbiji nakon izbijanja globalne ekonomske i finansijske krize povećava/smanjuje. Efekat passthrough se procenjuje u post-kriznom periodu koristeći ekonometrijski model (ADL metodologija). Rezultati pokazuju da ovaj efekat postoji, ali da je daleko ispod 1 i da se tokom vremena smanjuje.
Abstract
This paper follows a well-known pass-through effect of the foreign exchange rate at the inflation in the economy. Numerous econometric models show the existence of the influence of the foreign exchange rate on inflation. The aim of the paper is to evaluate how strong this effect is and whether the influence of the foreign exchange rate on price in Serbia after the collapse of the global economy is increasing/decreasing. The pass-through effect is assessed in the post-crisis period using the econometric model (ADL methodology). The results show that this effect exists, but that it is far below 1 and that it has been decreasing over time.
|
|
|
|
Reference
|
|
  
|
Adolfson, M. (2007) Incomplete exchange rate pass-through and simple monetary policy rules. Journal of International Money and Finance, 26(3): 468-494
|
|
1
|
Aghion, P., Bacchetta, P., Ranciere, R., Rogoff, K. (2006) Exchange rate volatility and productivity growth: The role of financial development. NBER Working Paper, No. 12117
|
|
2
|
Bailliu, J., Eiji, F. (2004) Exchange rate pass-through and the inflation environment in industrialized countries: An empirical investigation. u: Bank of Canada WP No. 2004-21, Ottawa: Bank of Canada, June
|
|
|
European Central Bank (2016) Exchange rate pass-through into euro area inflation. Economic Bulletin, European Central Bank., Issue 7
|
|
|
Frankel, A.J., Parsley, D.C., Wei, S. (2005) Slow Pass-through Around the World: A New Import for Developing Countries. u: NBER Working Paper No. 11199
|
|
|
Hellerstein, R. (2008) Who bears the cost of a change in the exchange rate? Pass-through accounting for the case of beer. Journal of International Economics, 76(1): 14-32
|
|
|
Kandil, M.E., Mirzaie, I.A. (2003) The Effects of Exchange Rate Fluctuationson Output and Prices: Evidence From Developing Countries. IMF Working Papers, 03(200): 1
|
|
|
Kasa, K. (1992) Adjustment costs and pricing-to-market theory and evidence. Journal of International Economics, 32(1-2): 1-30
|
|
1
|
McCarthy, J. (2000) Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies. SSRN Electronic Journal
|
|
|
Monacelli, T. (1999) Open economy policy roles under imperfect pass-through. New York University, unpublished manuscript
|
|
|
Nakamura, E., Zerom, D. (2009) Accounting for Incomplete Pass-Through. Review of Economic Studies, 77(3): 1192-1230
|
|
4 
|
Newey, W.K., West, K.D. (1987) A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3): 703
|
|
|
Petrović, P., Mladenović, Z. (2005) Modeling inflation in Serbia
|
|
2 
|
Petrović, P., Mladenović, Z. (2015) Exchange rate pass-through and the frequency of price adjustment across different inflation regimes. Panoeconomicus, vol. 62, br. 4, str. 409-427
|
|
|
Smets, F., Wouters, R. (2002) Openness, Imperfect Exchange Rate Pass-Through and Monetary Policy. SSRN Electronic Journal
|
|
|
Sutherland, A. (2002) Incomplete pass-through and welfare effects on exchange rate variability. u: CEPR Discussion Paper No. 4341
|
|
|
Tasić, N. (2008) Pass-Through of Exchange Rates to Prices in Serbia. National Bank of Serbia Working papers, No. 10
|
|
2
|
Vilaret, S., Palić, M. (2006) Exchange rate pass-through effect on prices in Serbia. Narodna banka Srbije, Radni papiri, November
|
|
|
|
|