Identification of the Equilibrium Exchange Rate Pass-Through Effect in Cointegrated VAR with an Application to the Euro area
The exchange rate pass-through is of considerable importance for policy makers in open economies. Based on work of Johansen (2002) this paper develops the conditions for the identification of equilibrium pass-througheffect in cointegration framework. In addition, I specify the restrictions for testi...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
University of Ljubljana
2017-03-01
|
| Series: | Economic and Business Review |
| Subjects: | |
| Online Access: | http://www.ebrjournal.net/ojs/index.php/ebr/article/view/402/pdf_68 |