Bank of Spain paper looks at exchange rate shocks in the eurozone

inflation

A working paper published by the Bank of Spain analyses the time-varying effect of exogenous exchange rate shocks on eurozone inflation.

In European Central Bank exchange rate shocks and inflation co-movement in the euro area, Danilo Leiva-Leon, Jaime Martínez-Martín and Eva Ortega attempt to break these down into country-specific and region-wide components. To do that, they present a flexible empirical framework based on dynamic factor models, which use drifting parameters and exogenous

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