Asymmetric exchange rate pass-through in the Euro area: new evidence from smooth transition models
type: Dataset
description: This paper examines the presence of asymmetric behavior in exchange rate passthrough (ERPT) to CPI inflation in 12 euro area (EA) countries. Using a class of nonlinear smooth transition models, the author tests for asymmetry with respect to the direction and the magnitude of exchange rate changes. On the one hand, the author finds only 5 out of 12 EA countries showing asymmetric pass-through related to exchange rate appreciations and depreciations. Results are somewhat mixed with no clear evidence about the direction of asymmetry. On the other hand, the author reports strong evidence that ERPT responds asymmetrically to the size of exchange rate changes as a result of presence of menu costs. The degree of ERPT is found to be higher for large exchange rate changes than for small ones in 9 out of 12 EA countries.
issued: 2026-06-02T06:47:53.967822
language: en
modified: 2026-06-02T06:47:53.967831
contact point: Organization
  fn: CCSD
keyword: euro-area
keyword: exchange-rate-pass-through
keyword: inflation
keyword: infoeu-reposemanticsarticle
keyword: jel-c---mathematical-and-quantitative-methodscc2---single-equation-models--single-variablescc2
keyword: jel-e---macroeconomics-and-monetary-economicsee3---prices-business-fluctuations-and-cyclesee3
keyword: jel-f---international-economicsff4---macroeconomic-aspects-of-international-trade-and-financeff
keyword: journal-articles
keyword: shsecohumanities-and-social-scienceseconomics-and-finance
keyword: smooth-transition-regression-models
landing page: 1864-6042

Asymmetric exchange rate pass-through in the Euro area: new evidence from smooth transition models
type: Distribution
format: HTML
issued: 2026-06-02T06:47:54.099597
modified: 2026-06-02T06:47:53.926037
access URL: https://shs.hal.science/halshs-00761014

test_moissonnage_selune
type: Agent