ERPT: Data set on the _Exchange Rate Pass-Through_

In pvars: VAR Modeling for Heterogeneous Panels

Data set on the Exchange Rate Pass-Through

Description

The data set ERPT consists of monthly observations for the logarithm of import prices lm^*, foreign prices lf^*, and the exchange rate against the US dollar llcusd. It covers the period January 1995 to March 2005 (T=123) for N=7 countries. The asterisk denotes the industry of the variables and can take values from 0 to 8:

• 0: Food and live animals chiefly for food

• 1: Beverages and tobacco

• 2: Crude materials (inedible, except fuels)

• 3: Mineral fuels, lubricants and related materials

• 4: Animal and vegetable oils, fats and waxes

• 5: Chemicals and related products

• 6: Manufactured goods classified chiefly by materials

• 7: Machines, transport equipment

• 8: Manufactured goods

Usage

data("ERPT")

Format

A long-format data panel of class 'data.frame', where the columns id_i and id_t indicate the country and month respectively.

Source

The prepared Eurostat data set is directly obtainable from the ZBW Journal Data Archive: \Sexpr[results=rd]{tools:::Rd_expr_doi("10.15456/jae.2022321.0717881037")}. This is open data under the CC BY 4.0 license.

References

Banerjee, A., and Carrion-i-Silvestre, J. L. (2015): "Cointegration in Panel Data with Structural Breaks and Cross-Section Dependence", Journal of Applied Econometrics, 30 (1), pp. 1-23.

See Also

Other data sets: EURO, EU_w, ICAP, MDEM, MERM, PCAP, PCIT

pvars documentation built on Nov. 5, 2025, 6:57 p.m.