scholarly journals Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through

2008 ◽  
Author(s):  
Stephane Dees ◽  
Matthias Burgert ◽  
Nicolas Parent
Keyword(s):  
Exchange Rate ◽  
Import Price ◽  
Price Dynamics ◽  
Advanced Economies ◽  
Pass Through ◽  
Exchange Rate Pass Through

scholarly journals Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through

2012 ◽  
Vol 45 (2) ◽  
pp. 789-816
Author(s):  
Stephane Dees ◽  
Matthias Burgert ◽  
Nicolas Parent
Keyword(s):  
Exchange Rate ◽  
Import Price ◽  
Price Dynamics ◽  
Advanced Economies ◽  
Pass Through ◽  
Exchange Rate Pass Through

scholarly journals Exchange Rate Pass Through in a Small Open Economy: A case study of West African Monetary Zone

2013 ◽  
Vol 9 (4) ◽  
pp. 275-290
Author(s):  
Rahman olanrewaju Raji
Keyword(s):  
Exchange Rate ◽  
Open Economy ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Import Price ◽  
Series Data ◽  
Import Prices ◽  
Pass Through ◽  
Exchange Rate Pass Through

The  study investigated the magnitude of exchange rate pass through to import prices and domestic prices    (consumer price index) in WAMZ economy using quarterly time-series data between 2000 and 2010 with the aids of Vector autoregressive (VAR) modeling technique supported with Johansen co-integration approach cross country analysis comprising of Gambia, Ghana, Nigeria and Sierra-Leone. The study discovered that transmission of exchange rate to import prices is more when compared with consumer price in the zone while the contributions of exchange rate to import price are not less 13 percent at average in entire zone. Consumer price index was explained by exchange rate pass through with an average of 26 percent in the zone where the pass through to consumer price is less than two percent in Ghanaian economy. The Taylor (2000) hypothesis was observed in the study where Ghana and Nigeria are the outlier economies while Nigeria established a positive relationship between interest rate volatility and exchange rate pass through to import prices.

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 CPI Exchange Rate Pass-Through Decomposition and Distribution Margins: The Case of Brazil versus Advanced Economies

2020 ◽  
Vol 74 (1) ◽  
Author(s):  
Camila Ciss Abdelmalack ◽  
Camila F. S. Campos
Keyword(s):  
Exchange Rate ◽  
Advanced Economies ◽  
Pass Through ◽  
Exchange Rate Pass Through

scholarly journals The Analysis of Exchange Rate Pass-Through in Indonesia

2019 ◽  
Author(s):  
Karsinah . ◽  
Sucihatiningsih Dian Wisika Prajanti ◽  
Widiyanto . ◽  
Nor Malisa
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Import Price ◽  
Series Data ◽  
Short Term ◽  
Import Price Index ◽  
Pass Through ◽  
Exchange Rate Pass Through

The aims of this research are to identify and analyze the exchange rate pass through towards domestic price in Indonesia. The aforementioned objective is reflected through the short-term and long-term influence variable, inflation fluctuation response due to other macroeconomic shock variable, which then reveals the characteristics of pass-through degree in Indonesia. The data used on this research was the quarter time series data from 1997 Q3 until 2017Q4. The variable used in this research were Consumer Price Index, Rupiah exchange value per Dollar, Import Price Index and SBI Interest Rate. The resource of the data variable were from Bank Indonesia and International Monetary Fund (IMF). The method being employed was Vector Error Correction Model (VECM). The result of the research shows that in the long-term and short-term period, all variable influences inflation by a different lag. Moreover, the impulse response function assessment reveals that shock variable of import price index receives a positive response by consumer price index. The result of variance decomposition assessment also concludes that the import price index has the biggest contribution.

scholarly journals Does the Incomplete Exchange Rate Pass-through Exist in Sudan?

2021 ◽  
Vol 3 (1) ◽  
pp. 147-163
Author(s):  
Ahmed Abdu Allah Ibrahim ◽  
Mohamed Sharif Bashir
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Forecast Error ◽  
Import Price ◽  
Nominal Exchange Rate ◽  
Domestic Price ◽  
Variance Decompositions ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through

The purpose of this paper is to examine the nominal exchange rate pass-through to domestic prices in Sudan from 1978–2017. An autoregressive distributed lag (ARDL) approach to cointegration is employed. The analysis is based on impulse response functions (IRFs) and forecast error variance decompositions (FEVDs). The dynamics of the cointegrated system can be investigated via the variance decompositions and IRFs. The findings confirm that the degree of exchange rate pass-through in Sudan is incomplete, and the empirical results also show that the domestic price index is predominantly caused by foreign price in both the short and long runs, in addition to the import price index and the nominal exchange rate; the exchange rate shock has a negative effect on the domestic price. Furthermore, FEVDs analysis illustrates that the variation in domestic price is primarily determined by the import prices, while changes in the exchange rate are primarily determined by the exchange rate itself.

scholarly journals Missing Import Price Changes and Low Exchange Rate Pass-Through

2014 ◽  
Vol 6 (2) ◽  
pp. 156-206 ◽  
Author(s):  
Etienne Gagnon ◽  
Benjamin R. Mandel ◽  
Robert J. Vigfusson
Keyword(s):  
Exchange Rate ◽  
Large Body ◽  
Empirical Work ◽  
Import Price ◽  
Price Changes ◽  
Import Price Index ◽  
Exchange Rate Movements ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Bureau Of Labor Statistics

A large body of empirical work has found that exchange rate movements have only modest effects on US inflation. However, exchange rate pass-through may be underestimated because some price changes are missed when constructing price indexes. We investigate downward biases that arise when items exit or enter the US import price index. Using Bureau of Labor Statistics microdata, we find that, although potentially large in theory, the empirical biases are modest over typical forecast horizons. As such, the empirical evidence continues to support the conclusion that pass-through to US import prices is low. (JEL C43, E31, E52, F31)

scholarly journals Missing Import Price Changes and Low Exchange Rate Pass-through

2012 ◽  
Vol 2012 (1040r) ◽  
pp. 1-58 ◽  
Author(s):  
Etienne Gagnon ◽  
◽  
Benjamin R. Mandel ◽  
Robert J. Vigfusson
Keyword(s):  
Exchange Rate ◽  
Import Price ◽  
Price Changes ◽  
Pass Through ◽  
Exchange Rate Pass Through
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