Pass-through of external shocks along the pricing chain: A panel estimation approach for the euro area



CPNEIG

Fixed-effects (within) regression

Group variable: country_id

R-sq: within = 0.3811

between = 0.9452

overall = 0.5265


Number of obs      =       490

Number of groups   =        10

Obs per group: min =        35

avg =      49.0

max =         73

F(9,9)              =    708.74

Prob > F            =    0.0000


corr(u_i, Xb) = 0.3986

(Std. Err

adjusted

for 10

clusters in

country_id)

---------------------------
|

Robust

-----------

dlcpneig |       Coef.

Std. Err.

t

P>|t|

[95% Conf

. Interval]

-------------+-------------

dl1lcpneig |    .0501821

.0646243

0.78

0.457

-.0960082

.1963724

dl2lcpneig |     .373533

.037572

9.94

0.000

.2885392

.4585268

dlppcons |    .0893961

.0315061

2.84

0.019

.0181243

.1606678

dl4lppcons |    .1143864

.0513311

2.23

0.053

-.0017325

.2305054

dl3lcomirm~d |   .0046689

.0020943

2.23

0.053

-.0000688

.0094065

dlneer |  -.0248823

.0125983

-1.98

0.080

-.0533816

.0036169

dlulc |    .0595285

.0192207

3.10

0.013

.0160483

.1030088

dl4lulc |    .0343244

.0144247

2.38

0.041

.0016934

.0669553

dygap |    .0006376

.0003476

1.83

0.100

-.0001488

.0014239

dlvat |    .0587554

.0150832

3.90

0.004

.0246348

.0928761

dl1lvat |    .0427205

.0111951

3.82

0.004

.0173953

.0680457

_cons |    .0003835

-------------+-------------

.0003563

1.08

0.310

-.0004226

.0011895

sigma_u |   .00065078

-----------

sigma_e |    .0030686

rho |   .04304129

(fraction

of variance due

to u_i)


CPSERV

Fixed-effects

Group variable

R-sq: within
between
overall

corr(u_i, Xb)

(within) regression

: country_id

= 0.5350

= 0.9461

= 0.6475

= 0.1041

(Std. Err

adjusted

Number of obs

Number of groups

Obs per group: min

=        464

=          10

=         26

=      46.4

=         66

=     82.71

=    0.0000

country_id)

F(9,9)

Prob >

for 10

avg
max

F

clusters in

--------------
|

Robust

-----------

dlcpserv |

Coef.

Std. Err.

t

P>|t|

[95% Conf

. Interval]

-------------+

dl1lcpserv |

.1971393

.0689225

2.86

0.019

.0412258

.3530527

dl2lcpserv |

.1652625

.0554974

2.98

0.016

.0397187

.2908064

dl3lcpserv |

.1157118

.0446581

2.59

0.029

.0146881

.2167356

dl4lcpserv |

.0892001

.0427406

2.09

0.067

-.0074858

.185886

dlppcons |

.0779006

.0275272

2.83

0.020

.0156298

.1401714

dl4lppcons |

.0907917

.0350953

2.59

0.029

.0114006

.1701828

dlneer |

-.0116737

.0063548

-1.84

0.099

-.0260493

.0027018

dlulc |

.0475384

.0188764

2.52

0.033

.0048369

.0902398

dl4lulc |

.0508087

.0142826

3.56

0.006

.0184992

.0831183

dlvat |

.0458296

.0072121

6.35

0.000

.0295147

.0621444

dextra_open |

-.1544247

.0374258

-4.13

0.003

-.2390878

-.0697616

dl1extra_o~n |

-.1625198

.0539966

-3.01

0.015

-.2846686

-.0403709

_cons |

-------------+

.0019854

.0004333

4.58

0.001

.0010051

.0029657

sigma_u |

.00052359

sigma_e |

.00248292

rho |

.04257555

(fraction

of variance due to

u_i)

ECB ■

Working Paper Series No 1104 KVI

November 2009∣   31



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