scholarly journals Exchange rate pass-through to import prices: Evidence from Serbia

2019 ◽  
Vol 8 (1) ◽  
pp. 7
Author(s):  
Safet Kurtović
Keyword(s):  
Exchange Rate ◽  
Correction Term ◽  
Single Equation ◽  
Import Prices ◽  
Long Run ◽  
Causality Tests ◽  
Effective Exchange ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

In this paper we estimated the degree of exchange rate pass-through (ERPT) into aggregate import prices in Serbia. ERPT was determined by application of single equation, cointegration approach (ARDL model), error correction term (ECM) and VAR Granger Causality tests. We based our research on data from 2008Q1 to 2014Q4. The results of our research show partial pass-through in the short run; in the long run pass-through was not observed. In addition to that, we found that appreciation of the nominal effective exchange rate (NEER) led to significant pass-through asymmetry in the short run.

scholarly journals Transmission Mechanism of Exchange Rate Pass-Through to Domestic Price: The Case of Afghanistan

2020 ◽  
Vol 16 (4) ◽  
pp. 1
Author(s):  
Ajmal Arian ◽  
Arabi U.
Keyword(s):  
Exchange Rate ◽  
Impulse Response Function ◽  
Import Price ◽  
Variance Decomposition ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Effective Exchange Rate

This article investigates the mechanism of exchange rate pass-through to the prices in the context of the Islamic Republic of Afghanistan’s economy. This study explored the magnitude and speed of the pass-through effect on the prices by analyzing quarterly data from 2003 Q1 to 2019 Q2 considering five variables (viz., world food price index, foreign reserves, money supply, import price, and nominal effective exchange rate) based on the Vector Autoregression Model (VAR) with the cointegration and innovation accounting tools such has impulse response function and variance decomposition. The findings of the study suggest that the exchange rate pass-through in Afghanistan is incomplete. The import price is highly responsive in the short-run and moderately responsive an increasingly smooth movement in the long-run. However, CPI in the short-run with swift positive respond but the long-run smooth increasing movement. Furthermore, variance decomposition evidence shows that import price is affected by FR, NEER, CPI, and MS in both short-run and long-run, but the CPI strongly lagged by its variance, WFP, NEER, import price, and MS.

scholarly journals Exchange Rate Pass-Through into Import Prices of Croatia

2018 ◽  
Vol 64 (4) ◽  
pp. 60-73
Author(s):  
Safet Kurtović ◽  
Sabina Šehić-Kršlak ◽  
Blerim Halili ◽  
Nehat Maxhuni
Keyword(s):  
Exchange Rate ◽  
Single Equation ◽  
Industrial Sector ◽  
Import Prices ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Industrial Sectors ◽  
Long Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

Abstract The main goal of this paper is to examine the influence of macro factors and the degree of the exchange rate pass-through (ERPT) on aggregate and disaggregate import prices of the industrial sectors in the short- and long-run. The study is based on a model used by Campa and Goldberg (2002) and Campa et al. (2005). The ERPT is determined by applying the single equation and the cointegration approach (autoregressive distributed lag model [ARDL]), vector decomposition, and data over the period from 2002Q1 to 2016Q4. In the long-run, the ERPT is complete for the aggregate import and for the industrial sector beverages and tobacco. In the short-run, the ERPT is incomplete for the aggregate import and for majority of industrial sectors. Further, we have discovered that the degree of the ERPT is higher with heterogeneous products than with homogeneous products. Due to the inaccessibility of data for micro factors, we were not able to determine their effect on import prices. The results of our research can help economic policymakers to create adequate measures in the field of economic policies that will improve the competitiveness of the economy. Finally, this paper identified the effect of the volatility degree of the ERPT on the disaggregate import prices of industrial sectors that has not been sufficiently explored so far.

scholarly journals STRUCTURAL BREAKS AND BILATERAL EXCHANGE RATE PASS-THROUGH: AN EMPIRICAL CASE OF INDONESIA–UNITED STATES

2011 ◽  
Vol 12 (1) ◽  
pp. 1
Author(s):  
Arintoko Arintoko
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Structural Breaks ◽  
Correction Term ◽  
Import Prices ◽  
Long Run ◽  
Consumer Prices ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through

This study estimates the exchange rate pass-through into domestic prices in Indonesia in the two-stage approach. The study focuses on first step pass-through, i.e. ERPT into import prices and second step pass-through, i.e. into consumer prices, using cointegration and error-correction mechanism (ECM) model. This research uses a Zivot-Andrews technique to test for structural breaks and Gregory-Hansen models to tests. The results show that the long run ERPT to import prices with structural breaks is relatively low compared to the results without them. The absolut error correction term values resulted from cointegration are decreased and the error-correction models need period lagged longer than one-period if the estimation included the estimated structural breaks. The main finding is that allowing for possible breaks around the crises in Indonesia, and a shift of the exchange rate management from managed to free floating in 1997 helps to restore a long run cointegration relationship estimation.

scholarly journals Investigating Exchange Rate Pass-through to Consumer Prices in Nigeria

2021 ◽  
Vol 21 (1) ◽  
pp. 105-121
Author(s):  
Ephraim Ugwu ◽  
Ditimi Amassoma ◽  
Christopher Ehinomen
Keyword(s):  
Exchange Rate ◽  
Research Work ◽  
Exchange Rate Policy ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The Impact ◽  
Negative Shock

Abstract Research background: There have been several studies on the degree of exchange rate pass-through (ERPT) to consumer prices, as well as macroeconomic environment with yet no clear direction. Purpose: This research work investigates exchange rate pass-through effects into consumer prices in Nigeria from 1960 to 2018. Research methodology: The methodology employed by the study for estimation is the Johansen cointegration and Vector Error Correction Model (VECM) procedures. Results: The empirical results indicate an incomplete pass-through of exchange rate into consumer prices in Nigeria. The pass-through is found to be 1.6 for the model under consideration. The impulse response function results indicate that the response of the consumer prices to the exchange rate shock decreases immediately to a negative shock in the short run, and continues along the horizon to a positive shock in the long run. Also, the response of consumer prices to interest rate shock decreases immediately and continues to fluctuate to a negative shock in both the short run long run horizon. Novelty: The results support the view that exchange rate policy should be complimented with coordinated macroeconomic policy approaches in order to control inflationary level in the economy. The study therefore recommends that the Federal Government should adopt a tightening of the monetary policy as it will help reduce the impact of exchange rate depreciation on consumer prices.

Modeling Foreign Exchange Rate Pass-Through using the Exponential GARCH

2014 ◽  
pp. 139-190
Author(s):  
Baoying Lai ◽  
Nathan Lael Joseph
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Pricing To Market ◽  
Export Prices ◽  
Long Run ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Meat Sector

In this chapter, the authors use an EGARCH-ECM to estimate the pass-through effects of Foreign Exchange (FX) rate changes and changes in producers’ prices for 20 U.K. export sectors. The long-run adjustments of export prices to FX rate changes and changes in producers’ prices are within the range of –1.02% (for the Textiles sector) and –17.22% (for the Meat sector). The contemporaneous Pricing-To-Market (PTM) coefficients are within the range of –72.84% (for the Fuels sector) and –8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of changes in FX rate and producers’ prices vary substantially, as do asymmetry and volatility estimates before equilibrium is achieved.

Exchange rate pass-through to consumer prices in Ghana: is there asymmetry?

2018 ◽  
Vol 13 (1) ◽  
pp. 162-184 ◽  
Author(s):  
Lordina Amoah ◽  
Meshach Jesse Aziakpono
Keyword(s):  
Exchange Rate ◽  
Policy Action ◽  
Import Prices ◽  
Content Type ◽  
Long Run ◽  
Consumer Prices ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through ◽  
The Impact

Purpose The purpose of this paper is to reexamine the speed and magnitude of exchange rate pass-through (ERPT) to consumer prices in Ghana. Design/methodology/approach The Johansen Maximum Likelihood approach is employed in the estimation of different models of symmetric and asymmetric ERPT. Specifically asymmetric ERPT models with respect to the direction and size of exchange rate changes are estimated. Findings Results reveal that even though a depreciation in the nominal effective exchange rate will lead to an increase of consumer prices in the long-run, it is not statistically significant. Evidence also suggests a significant asymmetry with respect to direction and size of exchange rate changes. This indicates that the right ERPT model is an asymmetric model. Specifically ERPT is found to be incomplete but relatively higher in periods of depreciation than in periods of appreciation; that is 53 percent against 3 percent. ERPT is also higher during episodes of large changes (about 51 percent). Research limitations/implications It would have been interesting to analyze the impact on consumer prices through changes in import prices. That approach was not adopted due to lack of consistent data on import prices in Ghana. Practical implications It is imperative that the monetary authorities critically monitor exchange rate movements in order to be able to take swift policy action so as to counteract any inflationary pressures from the external sector. In particular, much attention should be paid to events and arrangements that could result in large depreciation of the exchange rate. Originality/value While previous studies have assumed a symmetric ERPT model for Ghana, this paper is unique in that it investigates the most appropriate model for examining ERPT in Ghana whether symmetric or an asymmetric.

EXCHANGE RATE PASS-THROUGH INTO INDUSTRY-SPECIFIC PRICES: AN ANALYSIS WITH INDUSTRY-SPECIFIC EXCHANGE RATES

2019 ◽  
pp. 1-33
Author(s):  
Hülya Saygılı ◽  
Mesut Saygılı
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Indirect Effects ◽  
Transition Process ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through

This paper examines the heterogeneity of exchange rate pass-through into industry-specific import, producer, and consumer prices. Results show that depending on the imported input contents, price responsiveness to the aggregate and relative exchange rate changes displays significant differences. We found that direct exchange rate impacts are more significant than indirect effects. The importance of the indirect effects is largely influenced from energy, basic metal, and chemical industries that provide intermediate inputs to others. The time horizon plays a role in the transition process: exchange rate pass-through tends to get stronger and spread to different price indices over time. The short-run impacts of aggregate exchange rate changes are not significant, while relative exchange rate changes partially transmit to producer and consumer prices in low-import content industries. In the long run direct impacts of both aggregate and relative exchange rates are significant on import prices in all industries and producer prices in high-import content industries. Another interesting finding is that the relative and aggregate exchange rate changes have opposing impacts on domestic prices: asymmetric information about industry-specific exchange rates can create pricing opportunities.

scholarly journals Drivers of Inflation in the Economy of Bahrain

2016 ◽  
Vol 8 (3) ◽  
pp. 178
Author(s):  
Ibrahem H. Al-Ezzee
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Correction Term ◽  
Consumer Price Index ◽  
Government Expenditure ◽  
Cointegrating Vector ◽  
Long Run ◽  
Integration Test ◽  
Effective Exchange ◽  
Short Run

<p>The study tries to recognize the macroeconomic variables responsible for inflation in Bahrain during the period 1980-2010. For this purpose, co-integration test were used in the empirical analysis. Using Augmented Dickey-Fuller (ADF) Phillips Perron (PP) tests, the variables of the study revealed to be integrated of the order one 1(1) at first difference. Cointegration test was used to state the existence or otherwise of a cointegrating vector in the variables. Trace and Maximum Eigen test value point out co-integration at 5% level of significance pointing to the fact that the variables have a long-run relationship.</p><p>The paper found that inflation in the short-run is effected by M2, GEXP, and WACPI supporting the long run analysis. The signs of NEER and IR are not as expected. The error correction term is negative and significant at 1%, so the model is stable and supporting the Co-integration results.</p><p>The variance decompositions (VDs) approach is used to capture the relative importance of various shocks and their influences on our variable of inflation. The relative variance of inflation is due the exchange rate and interest rate. The results show that shocks to the CPI itself, Nominal Effective Exchange Rate NEER, Nominal Interest Rate NIR, M2, Government Expenditure GEXP, and<strong> </strong>Consumer Price Index of Main Partners WACPI over all horizons.</p>

Exchange Rate Pass-Through into Import Prices in Jordan

2013 ◽  
Vol 13 (1) ◽  
pp. 109-128 ◽  
Author(s):  
Osama D. Sweidan
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Nominal Exchange Rate ◽  
Policy Implications ◽  
Annual Data ◽  
Bounds Testing ◽  
Import Prices ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

This paper investigates the exchange rate pass-through into import prices on aggregate and disaggregates data levels in Jordan. We employ the bounds testing approach to cointegration and error correction model in a sample of annual data over the period 1976–2011. This fundamental topic has considerable policy implications. The current paper concludes that nominal exchange rate fluctuations and oil prices are the core determinants of import prices either on aggregate or disaggregate data level. The short-run and long-run nominal exchange rate pass-through elasticities coefficients in Jordan are incomplete and equal to 0.13. Besides, in the short-run, oil prices have larger effect on Jordan’s import prices compared to nominal exchange fluctuations.

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