Svetlana Shmykova1, Kirill Sosunov2
  • 1 Institute of Open Economy, 4-3, Kolpachny Lane, Moscow, 101990, Russia
  • 2 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

The Responsiveness of Consumer Prices to Exchange Rate in Russia

2005. Vol. 9. No. 1. P. 3–16 [issue contents]
In this paper we have empirically examined the exchange-rate pass-through effect to consumer prices and the movement of the effect in Russia during the period of 1999–2004. The evidence from vector autoregression model demonstrates that the average pass-through is low. We have also shown that in spite of gradual decreasing of inflation during that period and fall in dollar exchange rate in 2003, the exchange rate pass-through to prices risen after 2001. We suppose that the most important determinant of changes in pass-through over time is the growth of import share in consumption. In addition, we have shown that growth of exchange rate pass-through effect came from appreciation of the euro on domestic currency market.
Citation: Shmykova S., Sosunov K. (2005) Vliyanie valyutnogo kursa na potrebitel'skie tseny v Rossii [The Responsiveness of Consumer Prices to Exchange Rate in Russia]. HSE Economic Journal , vol. 9, no 1, pp. 3-16 (in Russian)
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