Prague Economic Papers 2025, 34(2):165-186 | DOI: 10.18267/j.pep.888

Exchange Rate Pass-Through to CEE Inflation: SVAR Approach

František Táborský
Faculty of Finance and Accounting, Prague University of Economics and Business, W. Churchill Sq. 4, 130 67 Prague 3, Czechia

This paper examines exchange rate pass-through (ERPT) to prices in Central and Eastern European (CEE) countries, focusing on the Czech Republic, Poland, Hungary, and Romania. We employ a Structural Vector Autoregression (SVAR) model to analyse the transmission of exchange rate shocks to imported, producer, and consumer prices. Results indicate significant heterogeneity in ERPT across countries and price stages. While all countries exhibit higher pass-through for import prices, variations emerge in producer and consumer price responses. Monetary policy credibility and trade openness are found to influence ERPT dynamics. The findings highlight the importance of understanding ERPT for effective monetary policy in the region. Our results highlight the need for policymakers to consider the complex interplay between exchange rate fluctuations and domestic prices when formulating monetary policy strategies.

Keywords: exchange rate pass-through, Central and Eastern Europe, SVAR, price transmission
JEL classification: E31, F31, F41

Received: October 20, 2024; Revised: March 10, 2025; Accepted: May 7, 2025; Prepublished online: July 7, 2025; Published: July 12, 2025  Show citation

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Táborský, F. (2025). Exchange Rate Pass-Through to CEE Inflation: SVAR Approach. Prague Economic Papers, 34(2), 165-186. doi: 10.18267/j.pep.888
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