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 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.

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.

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 Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine

2016 ◽  
pp. 30-42 ◽  
Author(s):  
Oleksandr Faryna
Keyword(s):  
Exchange Rate ◽  
Food Prices ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Consumer Prices ◽  
Exchange Rate Movements ◽  
Domestic Prices ◽  
Lag Model ◽  
Pass Through ◽  
Exchange Rate Pass Through

This paper aims to estimate the degree of exchange rate pass-through (ERPT) to domestic prices in Ukraine considering nonlinearities with respect to the size and direction of exchange rate movements. We use disaggregated consumer price data and employ a panel autoregressive distributed lag model (ARDL) including threshold parameters to account for nonlinearities in the ERPT mechanism. We then compute dynamic ERPT coefficients taking into account inflation and exchange rate persistence. Estimation results suggest that the pass-through effect to core consumer prices is higher from currency depreciation than in the case of appreciation. On the contrary, we find that raw food prices are much more sensitive to appreciations. We also find that price responsiveness to small, medium, and large exchange rate changes is nonlinear. In particular, we provide evidence that prices are sensitive to small and extremely large changes, but the pass-through effect is insignificant if exchange rate movements are moderate.

scholarly journals Mobile Money Use: The Impact of Macroeconomic Policy and Regulation

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 51
Author(s):  
Lorna Katusiime
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Financial Innovation ◽  
Macroeconomic Policy ◽  
Mobile Money ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run ◽  
Short Run ◽  
The Impact

This paper examines the effects of macroeconomic policy and regulatory environment on mobile money usage. Specifically, we develop an autoregressive distributed lag model to investigate the effect of key macroeconomic variables and mobile money tax on mobile money usage in Uganda. Using monthly data spanning the period March 2009 to September 2020, we find that in the short run, mobile money usage is positively affected by inflation while financial innovation, exchange rate, interest rates and mobile money tax negatively affect mobile money usage in Uganda. In the long run, mobile money usage is positively affected by economic activity, inflation and the COVID-19 pandemic crisis while mobile money customer balances, interest rate, exchange rate, financial innovation and mobile money tax negatively affect mobile money usage.

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.

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