scholarly journals An Empirical Analysis of Exchange Rate Pass-Through to Prices in South Africa (2002-2016)

2018 ◽  
Vol 10 (5(J)) ◽  
pp. 187-194
Author(s):  
Harris Maduku ◽  
Irrshad Kaseeram
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Policy Makers ◽  
Monthly Data ◽  
Exchange Rate Fluctuations ◽  
Producer Prices ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Year 2000

South Africa is currently running inflation targeting monetary policy since the year 2000 solely to achieve price stability. However, the persistent depreciation of the rand is making keeping inflation within the stipulated band very cumbersome. The objective of this paper is to find the duration taken by price indices to respond to exchange rate fluctuations. A Recursive VAR was used to investigate exchange rate passthrough (ERPT) to tradable prices in South Africa. Using monthly data, we find producer prices contributing highly to inflation with an average of 22% of fluctuations passed to prices. Large and persistent ERPT, especially on import and producer prices accompanied by high wage demands and a depreciating currency, are worrying factors for South Africa. Policy makers are advised to consider targeting the exchange rate if inflation is to be kept under control

scholarly journals Exchange Rate Volatility and Pass-Through to Inflation in South Africa

2019 ◽  
Vol 19 (277) ◽  
Author(s):  
Ken Miyajima
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
South African ◽  
Inflation Targeting ◽  
Shock Absorber ◽  
Exchange Rate Volatility ◽  
Limited Extent ◽  
Core Inflation ◽  
Pass Through ◽  
Exchange Rate Pass Through

Does the South African rand’s relatively large volatility affect inflation? To shed some light on this question, a standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited extent in South Africa. The finding lends support to the policy of allowing the rand to float freely and work as a shock absorber, consistent with the nation’s successful inflation targeting regime.

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.

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