scholarly journals An Empirical Study on the Pass-Through Effect of RMB Nominal Effective Exchange Rate on Import Price

2017 ◽  
Vol 08 (02) ◽  
pp. 181-190
Author(s):  
Alin Xia
Keyword(s):  
Exchange Rate ◽  
Empirical Study ◽  
Import Price ◽  
Effective Exchange ◽  
Pass Through ◽  
Effective Exchange Rate

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 in Vietnam under the Impact of Inflationary Environment

2016 ◽  
Vol 23 (03) ◽  
pp. 89-109
Author(s):  
Tho Tran Ngoc ◽  
Trang Nguyen Thi Ngoc
Keyword(s):  
Exchange Rate ◽  
Return To Equilibrium ◽  
Domestic Prices ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Distinct Features ◽  
Effective Exchange Rate ◽  
The Impact

This article addresses the exchange rate pass-through to domestic prices under the impact of inflation. Using TVAR based approach and the variables of inflation, nominal effective exchange rate (NEER), output gap, and interbank rate in addition to monthly data applied to the period of 2000M1–2014M12, we find a non-linear relation in the pass-through to inflation along with the two thresholds of its. Being above or below the thresholds results in different levels of the exchange rate pass-through, which is consistent with previous findings, with unclear/clear evidence found below/above the threshold of 0.3395%/month respectively. In the case of positive shocks of the exchange rate, the inflation is suggested to enormously rise and then return to equilibrium. We also attempt to clarify several distinct features of Vietnam affecting the pass-through and draw a few implications.

scholarly journals A Non-Linear Analysis of the Oil Price-Exchange Rate Nexus in Nigeria

2016 ◽  
Vol 8 (4(J)) ◽  
pp. 79-91
Author(s):  
Olagbaju Ifeolu O. ◽  
Akinbobola Temidayo O.
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Non Linear ◽  
Domestic Prices ◽  
Effective Exchange ◽  
Pass Through ◽  
Effective Exchange Rate

This paper studies the effect of oil price shocks on the Nigerian exchange rate on the basis of monthly data over the period January, 2008 to October, 2015. In order to explore the effects of oil prices on the competitiveness of the Nigerian currency, which had hitherto attracted little attention in literature, the paper adopts the real effective exchange rate measure within a five-variable VAR model, analysed using both linear and non-linear approaches. We find evidence of a non-linear impact of oil prices on real effective exchange rate. Specifically, decreases in oil price are found to have an appreciating impact on real effective exchange rate, implying a loss of competitiveness of the Naira, while increases in oil price are found to be irrelevant for movements in the real effective exchange rate. Our study also suggests a link between Naira depreciation and the real effective exchange rate appreciation through a pass-through effect on rising domestic prices.

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