VIETNAM’s INCOMPLETE EXCHANGE RATE PASS-THROUGH

2020 ◽  
pp. 1-18
Author(s):  
PHAM THI THANH XUAN
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
Flexible Exchange Rate ◽  
Time Varying ◽  
Pass Through ◽  
Exchange Rate Pass Through

We measure exchange rate pass-through (ERPT) for Vietnam and find that Vietnam’s ERPT is low, incomplete, and time varying. Our results also indicate that during appreciation periods ERPT is modest, but that during downturns ERPT effects are much larger. Moreover, our results indicate that the flexible exchange rate regime has successfully anchored the ERPT.

scholarly journals An empirical study of exchange rate pass-through in China

2012 ◽  
Vol 59 (2) ◽  
pp. 135-156 ◽  
Author(s):  
Xiaowen Jin
Keyword(s):  
Exchange Rate ◽  
Linear Model ◽  
Inflation Rate ◽  
Exchange Rate Regime ◽  
Flexible Exchange Rate ◽  
Exchange Rate Policy ◽  
Chinese Government ◽  
Long Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

This paper seeks to estimate exchange rate pass-through in China and investigate its relationship with monetary policy. Linear and VAR models are applied to analyze robustness. The linear model shows that, over the long run, a 1% appreciation of NEER causes a decline in the CPI inflation rate of 0.132% and PPI inflation rate of 0.495%. The VAR model supports the results of the linear model, suggesting a fairly low CPI pass-through and relatively higher PPI pass-through. Furthermore, this paper finds that, with the fixed exchange rate regime, CPI pass-through remains higher. The exchange rate regimes influence on CPI pass through, combined with the fact that appreciation diminishes inflation, suggests that the Chinese government could pursue a more flexible exchange rate policy. In addition, reasons for low exchange rate pass-through for CPI are analyzed. The analysis considers price control, basket and weight of Chinese price indices, distribution cost, and imported and non-tradable share of inputs.

scholarly journals Asymmetry in Exchange Rate Pass-Through to Consumer Prices: New Perspective from Sub-Saharan African Countries

2018 ◽  
Author(s):  
Diby Francois Kassi ◽  
Gang Sun ◽  
Ding Ning ◽  
Akadje Jean Roland Edjoukou ◽  
Yobouet Thierry Gnangoin
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
Correlated Errors ◽  
African Countries ◽  
Consumer Prices ◽  
The Exchange Rate ◽  
Sub Saharan ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Ssa Countries

This paper examines the asymmetrical relationship between exchange rate and consumer prices in 40 Sub-Saharan African (SSA) countries from 1990q1 to 2017q4. The exchange rate pass-through (ERPT) to consumer prices is estimated for each country by using the nonlinear autoregressive distributed lags (NARDL) framework and dynamic panel estimators robust to cross-sectionally correlated errors. Firstly, our findings suggest an asymmetrical ERPT in the SSA region during the short-term, whereas there are mixed results across sub-regions in the long-term. Next, we find incomplete and significant ERPT to consumer prices in the entire SSA region which is higher during the depreciation of the local currency than after appreciations. Third, we find nonlinear ERPT with respect to the size of the exchange rate. The pass-through is higher during large exchange rate changes than after small changes.  Finally, we find that the pass-through is greater in the countries with fixed exchange rate regime (CFA franc zone) having low inflationary environment than in the other SSA countries with flexible exchange rate regime and high inflation levels. As a result, policymakers should take into account these asymmetries and non-linearities to improve the credibility of monetary policy, strengthen trade liberalization and establish competitive market structures in the Sub-Saharan region.

scholarly journals A time-varying parameter VAR investigation of the exchange rate pass-through in Turkey

2016 ◽  
Vol 63 (5) ◽  
pp. 563-579
Author(s):  
Abdurrahman Çatık ◽  
Mehmet Karaçuka ◽  
Barış Gök
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Inflation Targeting ◽  
Time Varying ◽  
Macroeconomic Policies ◽  
Inflationary Phase ◽  
Time Varying Parameter ◽  
Exchange Rate Movements ◽  
Pass Through ◽  
Exchange Rate Pass Through

The effects of exchange rate movements on price levels have important implications to macroeconomic policies through the impacts on trade balance and inflation. In contrast to previous studies, we employ a VAR model with time-varying parameters to measure the magnitude of exchange rate pass-through (ERPT). The findings confirm the time-varying pattern in the ERPT, as the magnitude of ERPT has reached its maximum value during the 1994 financial crisis. The decline in the magnitude of ERPT has become more pronounced after the 2001 financial crisis as a result of the implementation of inflation targeting, which has shifted Turkey?s economy from a long lasting high inflationary phase to a low inflationary economic environment.

scholarly journals Exchange Rate Pass-through to Consumer Prices in Pakistan: Does Misalignment Matter?

2010 ◽  
Vol 49 (1) ◽  
pp. 19-35 ◽  
Author(s):  
Atif Ali Jaffri
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
Jel Classification ◽  
Price Inflation ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The Impact

This study investigates the impact of exchange rate changes on consumer prices (commonly known as exchange rate pass-through (ERPT)) in Pakistan for the period 1995M1 to 2009M3. The study estimates short-run and long-run ERPT in Pakistan while taking into account the existing real exchange rate misalignment (RERM). The results suggest that the ERPT to consumer price inflation in Pakistan is very low (close to zero). The impact of the previous periods’ misalignment on inflation is found significant in managed exchange rate regime. However, the overall sample misalignment does not affect inflation. The impact of foreign inflation on domestic inflation is positive and statistically significant. JEL classification: F31, F41, E31 Keywords: Pass-through, Misalignment, Inflation

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