Asymmetric exchange rate pass-through into import prices of Slovenia's manufacturing sector

摘要

The goal of this paper is to estimate the asymmetry of exchange rate pass-through into aggregate and disaggregate import prices and the composition of imports of Slovenia's manufacturing sectors. We used the nonlinear autoregressive distributed lag model and the monthly data from 2007:M1 to 2017:M12. We found that, in the long run, there was an asymmetry in the complete pass-through into aggregate import prices due to currency appreciation. Moreover, we found that for 6 out of 14 manufacturing sectors, there was a long-run asymmetry complete and partial pass-through due to the appreciation of the nominal effective exchange rate. Compared with depreciation, long-run appreciation has a stronger impact on aggregate and disaggregate import prices of the manufacturing sectors. On the other hand, we found that there was a short-run asymmetry due to depreciation in the complete and partial pass-through for the majority of manufacturing sectors. Compared with appreciation, short-run depreciation has a stronger impact on aggregate and disaggregate import prices of the manufacturing sectors. The degree of asymmetric pass-through is higher for aggregate and disaggregate import prices of the manufacturing sectors compared to the degree of symmetric pass-through. Finally, we confirmed that the degree of pass-through is higher for homogenous products than for heterogeneous products.