scholarly journals Exchange Rate Pass-Through to Prices in Mexico: A Study of the Main Border and Non-Border Cities

2021 ◽  
Vol 16 (2) ◽  
pp. 1-24
Author(s):  
Eduardo Saucedo ◽  
Jorge Gonzalez
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Service Sector ◽  
Consumer Price Index ◽  
Commodity Prices ◽  
Impulse Response Functions ◽  
Vector Autoregressive ◽  
Employment Share ◽  
Pass Through ◽  
Exchange Rate Pass Through

This study analyzes the exchange rate pass-through effect on the Consumer Price Index (CPI) in Mexico's main border and 27 non-border metropolitan cities. The period examined includes monthly data from January 2002 to December 2019. A vector autoregressive model (VAR) is used, which includes formal employment at the city level as a proxy to economic development, interest rates, nominal exchange rates, each analyzed city’s CPI, U.S. consumer prices, energy commodity prices and control variables such as service sector employment share and large firm employment share. Impulse response functions are constructed. Results for the 2002-2016 period indicate that exchange rate changes primarily affect border cities. Different arguments are included to justify such results. Pass-through values are also found to increase in general for all cities when the period 2017-2019 (January 2017 when important gasoline price shocks started previous its price liberalization in December 2017) is included in the regressions.

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.

INCOMPLETE EXCHANGE RATE PASS-THROUGH TRANSMISSION TO PRICES: AN SVAR MODEL FOR TUNISIA

2016 ◽  
Vol 11 (04) ◽  
pp. 1650017
Author(s):  
FATMA MARRAKCHI CHARFI ◽  
MOHAMED KADRIA
Keyword(s):  
Exchange Rate ◽  
Control Variable ◽  
Impulse Response Functions ◽  
Import Prices ◽  
Consumer Prices ◽  
Nominal Exchange Rates ◽  
Producer Prices ◽  
Pass Through ◽  
The Interest Rate ◽  
Exchange Rate Pass Through

In this paper, we tried to revisit the transmission degree of exchange rate variations to domestic prices (import prices, MPI; producer prices, PPI; and consumer prices, CPI) in Tunisia. To do this, we used the VAR–SVAR methodology, over the 2000:1–2013:12 period. The adopted mode is gathering national prices, nominal exchange rates, foreign prices and a control variable that is the interest rate. The findings highlights that the pass-through is incomplete for all considered prices. However, the degree of the exchange rate pass-through is the highest on import prices, is moderate on producer prices and is the lowest on consumer prices. Besides, the incomplete pass-through of MPI results from the pricing to market behavior and the lowest pass-through for CPI is due basically to the composition of this index which is administrated by 30% of its components. The impulse response functions analysis, that largely corroborates to the variance decomposition, shows that when the central bank conducts a restrictive monetary policy the inflation decreases without widening the output gap.

scholarly journals Exchange Rate Pass-through and Its Impacts on the Nigeria Economy

2020 ◽  
pp. 44-53
Author(s):  
Obasanmi, Jude Omokugbo
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Time Series Data ◽  
Series Data ◽  
Policy Interventions ◽  
Long Run ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
High Level ◽  
Exchange Rate Pass Through

Exchange Rate Pass-Through is an approximation of international macroeconomic transmission of prices and thus has implications for the timing of economic policy interventions. Hence, the degree and speed of pass-through is important for formulating policy responses to economic shocks. In this study, the researcher evaluated some channels and impacts of exchanges rate pass-through on the Nigerian economy during the period spanning from 1981 to 2018. Unit root and co-integration tests, as well as the error regression analysis on the time series data for the period 1981-2018 were carried out. The empirical outcomes indicated that Exchange rate changes pass-through interest rate and inflation rate channels on both short and long run and thus significantly affected interest rates and prices of goods and service in Nigeria during the study period. These outcomes yielded key policy insights and outlook which made the researcher to recommend amongst others that Government should ensure that the interest rates are brought to a level that will enable producers access investible funds. When there is high level of funds for production, exports would likely increase ceteris paribus, there by an increase in the foreign exchange earnings for the country and an appreciation of the naira.

scholarly journals Exchange rate pass-through to domestic prices in Namibia: SVAR evidence

2014 ◽  
Vol 7 (1) ◽  
pp. 89-102 ◽  
Author(s):  
Johannes Sheefeni ◽  
Matthew Ocran
Keyword(s):  
Exchange Rate ◽  
Impulse Response ◽  
Price Level ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Domestic Prices ◽  
Variance Decompositions ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through

This article investigates exchange rate pass-through to domestic prices in Namibia. The study covers the period of 1993:Q1 – 2011:Q4, and employed the impulse response functions and variance decompositions obtained from a structural vector autoregressive model. The results from the impulse response functions show that there is a high and long-lasting effect from changes in exchange rates to inflation in Namibia, or high exchange rate pass-through into domestic inflation. The results from the forecast error variance decompositions also reflect that changes in the price level evolve endogenously with changes in the exchange rate. The results are in agreement with the findings of the impulse response functions regarding the significant effect of the exchange rate variable on domestic prices (inflation). The results confirm an incomplete pass-through, indicating that the purchasing power parity theory does not hold, with regard to the price level, in the context of Namibia.

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.

Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Gabriel Montes-Rojas
Keyword(s):  
Impulse Response ◽  
Reduced Form ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Long Term Effects ◽  
Vector Autoregressive ◽  
Conditional Effects ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Multivariate Quantile

Abstract A multivariate vector autoregressive model is used to construct the distribution of the impulse-response functions of macroeconomics shocks. In particular, the paper studies the distribution of the short-, medium-, and long-term effects after a shock. Structural and reduced form quantile vector autoregressive models are developed where heterogeneity in conditional effects can be evaluated through multivariate quantile processes. The distribution of the responses can then be obtained by using uniformly distributed random vectors. An empirical example of exchange rate pass-through in Argentina is presented.

scholarly journals Dampak Perubahan Kurs (Pass-Through Effect) terhadap Tujuh Kelompok Indeks Harga Konsumen di Indonesia

2008 ◽  
Vol 9 (1) ◽  
pp. 1-16
Author(s):  
Noer Azam Achsani ◽  
Herry Frenky Nababan
Keyword(s):  
Exchange Rate ◽  
Consumer Price Index ◽  
Rate Of Change ◽  
Structural Vector Autoregression ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Interesting Discussion ◽  
Pass Through ◽  
Exchange Rate Pass Through

The impacts of exchange rate to an economy both domestically and internationally are an interesting discussion. One of the examples for discussion is exchange rate pass-through (ERPT). ERPT is defined as the rate of change of prices (domestic, imported or exported) as a result of change in exchange rate. Consumer price index (CPI) is one of the most frequent indicators used for measuring domestic price. This paper analyzes the impacts of exchange rate change (ERPT) to seven group of CPI in Indonesia. The Cholesky Decomposition is employed to identify structural shock of Structural Vector Autoregression (SVAR) which then combined with Vector Error Correction Model (VECM) for 48 time series units. The result shows that for the entire period there is an incomplete pass-through for the seven group of CPI. The largest effect occurs in the transportation and communication sector and food and beverages sector in which 35 percent of their changes in CPI are affected by change in exchange rate.

scholarly journals A Simultaneous-Equation Model of Estimating Exchange Rate Pass-Through in Malaysia

2020 ◽  
Vol 1 (3) ◽  
pp. 181-186
Author(s):  
Yu Hsing
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Simultaneous Equation ◽  
Equation Model ◽  
Oil Price ◽  
Simultaneous Equation Model ◽  
Crude Oil Price ◽  
Pass Through ◽  
Exchange Rate Pass Through

Based on an extended IS-LM-AS model, this study finds that a 1% depreciation of the Malaysian ringgit tends to cause the CPI to rise by 0.1194%. Moreover, more M2 money supply, a lower government borrowing as a percent of GDP, a higher crude oil price, a higher U.S. CPI, and a higher expected consumer price index tend to raise Malaysia’s CPI. Therefore, exchange rate pass-through (ERPT) to the consumer price in Malaysia is partial and incomplete.

scholarly journals Exchange Rate Pass-Through to Domestic Prices: The Turkish Case (2002-2014)

2017 ◽  
Vol 7 (2) ◽  
pp. 202
Author(s):  
Ilyas Sıklar ◽  
Merve Kocaman ◽  
Sevcan Kapkara
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Nominal Exchange Rate ◽  
Vector Autoregressive ◽  
Consumer Prices ◽  
Domestic Prices ◽  
Producer Prices ◽  
Pass Through ◽  
Turkish Case ◽  
Exchange Rate Pass Through

This study examines the degree of exchange rate pass through (ERPT) into producer prices and consumer prices in Turkey. To see the effect of ERPT, recursive vector autoregressive (VAR) model on monthly data from January 2002 to November 2014 is used. Model includes six variables which are oil prices that represent supply shock, industry production index representing demand shocks, reserve money representing monetary policy, nominal exchange rate and CPI-PPI indices. Obtained results show that although there is a pass through from exchange rate to consumer and producer prices, its degree is not as effective as prior to 2001. This means that policymakers have more power for pursuing independent monetary policy.

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