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Working paper

Исследование эффекта переноса валютного курса в России

This paper studies exchange rate pass-through effect (PTE) on consumer and producer prices in Russia using Error Correction Model. We find that PTE is significant on most prices studied and very diverse, but it is incomplete even in the long run. We also find some asymmetry in price reactions to exchange rate appreciation and depreciation. Since the studied period includes Russia’s balance of payments crisis of August 1998, we test PTE before and after the crisis and find that PTE was the highest during the crisis and decreased after some structural adjustment of the economy. We also estimate that monetary policy increased PTE during the crisis what pushed prices further.