Parsley, David (2010): Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services.
Download (212Kb) | Preview
This paper studies exchange rate pass-through in South Africa at the most disaggregated level possible. To accomplish this, two distinct panels of disaggregated data are employed. The first data set contains annual prices of 158 individual goods and services at the consumer level from 1990 to 2009. The second panel contains quarterly average import unit-values for twenty-six 8-digit import categories from ten of South Africa’s top trading partners from 1998 Q1 to 2009 Q2. The study finds low pass-through to consumer prices (between 15 and 25 percent in the two years following an exchange rate change), slow convergence to long run purchasing power parity (6.4 years), and no apparent tendency for pass-through to have declined during the last twenty years. Relatively high estimates were found for import price pass-through from Brazil and the United States (75 percent), while Taiwan, Switzerland, India, Great Britain, and Germany were nearer the overall average of 60 percent. As with final consumer prices, there is little evidence of a decline in pass-through to import prices.
|Item Type:||MPRA Paper|
|Original Title:||Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services|
|Keywords:||exchange rate pass-through;|
|Subjects:||F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F40 - General
F - International Economics > F3 - International Finance > F30 - General
|Depositing User:||David C. Parsley|
|Date Deposited:||06. Mar 2010 04:17|
|Last Modified:||12. Feb 2013 11:25|
Aw, Bee-Yan, 1993, “Price Discrimination and Markups in Export Markets,” Journal of Development Economics 42, 315-336.
Bank for International Settlements, 2002, 72nd Annual Report, Basle.
Barhoumi, Karim, 2005, “Long Run Exchange Rate Pass-Through into Import Prices in Developing Countries: An Empirical Investigation”, working paper.
Bhundia, Ashok, 2002, “An Empirical Investigation of Exchange Rate Pass-Through in South Africa”, International Monetary Fund working paper.
Borensztein, Eduardo, and Jose De Gregorio, 1999, "Devaluation and Inflation after Currency Crises,” International Monetary Fund.
Burstein, Ariel, Martin Eichenbaum, and Sergio Rebelo, 2007, “Modeling Exchange Rate Pass-through After Large Devaluations”, Journal of Monetary Economics.
Campa, Jose, and Linda Goldberg, 2005, “Exchange Rate Pass-Through into Import Prices, A Macro or Micro Phenomenon?”, Review of Economics and Statistics, 87(4), 679-690.
Choudhri, Ehsan, and Dalia Hakura, 2001, “Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter?”, IMF Working Paper WP/01/194.
Devereux, Michael, and James Yetman, 2002, “Price Setting and Exchange Rate Pass-Through: Theory and Evidence,” Hong Kong Institute of Monetary Research working Paper, 22..
Engel, Charles, 2006, “Equivalence Results for Optimal Pass-through, Optimal Indexing to Exchange Rates, and Optimal Choice of Currency for Export Pricing,” Journal of the European Economic Association, 1249-1260.
Feenstra, Robert, 1998, "Integration of Trade and Disintegration of Production in the Global Economy," Journal of Economic Perspectives, 12: 31-50.
Frankel, Jeffrey, David Parsley, and Shang-Jin Wei, 2005, “Slow Passthrough Around the World: A New Import for Developing Countries?,” Kennedy School of Government Faculty Research Working Paper Series RWP05-016, February, also, NBER WP 11199.
Froot, Kenneth, and Paul Klemperer, 1989, “Exchange Rate Pass-Through When Market Share Matters,” American Economic Review 79, no. 4, Sept., 637-54.
Gagnon, Joseph, and Jane Ihrig, 2004, “Monetary Policy and Exchange Rate Pass-Through,” International Journal of Finance and Economics, vol. 9 no. 4, October, 315-338.
Goldfajn, Ilan, and Sergio Werlang, 2000, “The Pass-Through from Depreciation to Inflation: A Panel Study,” Economics Department, PUC-Rio, Texto Para Discussao No. 424.
Ho, Corrinne, and Robert McCauley, 2003, “Living with Flexible Exchange Rates: Issues and Recent Experience in Inflation Targeting Emerging Market Economies,” Bank for International Settlements Working Paper 130, Basel.
Imbs, Jean, Haroon Mumtaz, Morton O. Ravn, Helene Rey, 2005, “PPP Strikes Back: Aggregation and the Real Exchange Rate,” Quarterly Journal of Economics, Volume 120, Number 1, p. 1-44.
Knetter, Michael, 1989, “Price Discrimination by U.S. and German Exporters,” American Economic Review, 79, no. 1, March 198-210.
Mann, Catherine, 1986, “Prices, Profit Margins, and Exchange Rates,” Federal Reserve Bulletin, 72, June, 366-79.
Marazzi, M., N. Sheets, and R. Vigfusson, 2005, “Exchange rate pass-through to U.S. import prices: some new evidence”, Board of Governors of the Federal Reserve System, International Finance Discussion Papers # 833.
Mishkin, Frederic, 2008, “Exchange Rate Pass-Through and Monetary Policy”, speech at the Norges Bank Conference on Monetary Policy, Oslo, Norway, March 7, http://www.federalreserve.gov/newsevents/speech/mishkin20080307a.htm
Mumtaz, Haroon, Ozlem Oomen, and Jian Wang, 2006, “Exchange Rate Pass-Through into UK Import Prices”, Bank of England Working Paper No. 312.
Otani, Akira, Shigenori Shiratsuka, and Toyoichiro Shirota, 2003, “The Decline in the Exchange Rate Pass-Through: Evidence from Japanese Import Prices,” Monetary and Economic Studies, Bank of Japan, vol. 21, no. 3, October; p.53-81.
Parsley, David, 1993, “Exchange Rate Pass-Through: Evidence from Aggregate Japanese Exports,” Southern Economic Journal, 60, no. 2, October, 454-62.
Parsley, David, 2003, “Exchange Rate Pass-Through in a Small Open Economy: Panel Evidence from Hong Kong,” International Journal of Finance & Economics, 8(2), 99-108.
Parsley, David, and Helen Popper, 1998, “Exchange Rates, Domestic Prices, and Central Bank Actions: Recent U.S. Experience,” Southern Economic Journal, Volume 64(4), p. 957-972.
Parsley, David, and Shang-Jin Wei, 2007 ,“A Prism into the PPP Puzzles: The Micro-Foundations of Big Mac Real Exchange Rates,” Economic Journal, Volume 117, pp. 1336-1356.
Rogoff, Kenneth, 1996, “The Purchasing Power Parity Puzzle, Journal of Economic Literature, 34(2), 647-68.
Saiki, Ayako, 2004, “The Change in Inflation Persistence and Exchange Rate Pass-Through for Inflation Targeting Countries,” Essay 2 in Ph.D. Dissertation, Brandeis University
Taylor, John, 2000, “Low Inflation, Pass-Through and the Pricing Power of Firms,” European Economic Review, 44, no. 7, June, 1389-1408.
Yang, Jiawen, 1997, “Exchange Rate Pass-Through in US Manufacturing Industries,” Review of Economics and Statistics, 95-104.