Lecture 5 - Isabelle MEJEAN's home page
Lecture 5 - Isabelle MEJEAN's home page
Lecture 5 - Isabelle MEJEAN's home page
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Betts & Devereux (1996)<br />
Campa & Goldberg (2006)<br />
ERPT into import and consumer price indices<br />
Use quarterly data for the period 1975:1 to 2003:4<br />
Estimated equation:<br />
∆p it = α∆e it + β∆p ∗ t<br />
where p is either the log of the import price index or the log of the<br />
CPI in country i, e is the effective exchange rate and p ∗ is a<br />
measure of foreign price. Under complete ERPT, α = 1<br />
Add lags to account for partial price adjustments ⇒ ERPT defined<br />
as the cumulative one-year impact from an exchange rate shock (LR<br />
ERPT)<br />
<strong>Isabelle</strong> Méjean <strong>Lecture</strong> 5
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