THE EXCHANGE RATE PASS-THROUGH TO IMPORT PRICES: A PANEL EVIDENCE FROM DEVELOPING COUNTRIES

GHARDACH, jaouad (2014): THE EXCHANGE RATE PASS-THROUGH TO IMPORT PRICES: A PANEL EVIDENCE FROM DEVELOPING COUNTRIES.

Abstract

The present working paper aims to examine theoretically and empirically the long run relationship of the exchange rate pass-through to import prices. Using a heterogeneous panel approach to estimate the ERPT for four developing countries. Our methodology consists of a no stationary panel estimation and a coïntegration test, our results show that the ERPT in developing countries has a heterogeneous character.

• Item Type: MPRA Paper
• Language: French
• Keywords: ERPT, Panel coïntégration, heterogeneous panel, Pooled Mean Group Estimator
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; D - Microeconomics > D2 - Production and Organizations > D21 - Firm Behavior: Theory; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; F - International Economics > F3 - International Finance > F31 - Foreign Exchange

References

1- Bailliu, J. & Fujii, E. (2004). “Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation”. Bank of Canada Working Paper No.2004-21.

2- Baltagi, B.H. et Kao, C. (2000), “Nonstationary panels, cointegration in panels and dynamic panels : a survey”, in Advances in Econometrics, 15, edited by B. Baltagi et C. Kao, pp. 7-51, Elsevier Science.

3- Bouakez & Rebei. (2008), “Has exchange rate pass through really declined? Evidence from Canada”, Research Department, Bank of Canada.

4- Campa, J. & Goldberg, L. (2002). “Exchange Rate Pass-Through Into Import Prices: A Macro or Micro Phenomenon?” NBER Working Paper No 8934.

5- Choudhri, E. & Hakura, D. (2006). “Exchange Rate Pass Through to Domestic Prices: Does the Inflationary Environment Matter?” Journal of International Money and Finance, 25, pp. 614–639.

6- Darmane Coulibaly & Hubert Kempf. (2010). “Does inflation targeting decrease exchange rate pass through in Emerging countries?” Documents de Travail du Centre d'Economie de la Sorbonne - 2010.49

7- David R. Sabiston. (2001) “Le pass-through du taux de change : un survol de la littérature” L'Actualité économique, vol. 77, n° 3, p. 425-454.

8- Dornbush R., 1987. “Exchange Rates and Prices” American Economic Review, 77(1), 93-106.

9- Hurlin, C. et Mignon, V. (2005), “Une synthèse des tests de racine unitaire sur données de panel”, Economie et Prévision, 169-170-171, pp. 253-294.

10- Hurlin, C. et Mignon, V. (2006), “ Une Synthèse des Tests de Coïntégration sur Données dePanel”, Economie et Prévision, N°180-181.

11- Im K.S, Pesaran M.H, and Shin Y. (2003) ”Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics 115.

12- José Manuel Campa, Linda S. Goldberg José M. González-Mínguez. (2005). “Exchange rate pass-through to import prices in the euro area” NBER Working Paper 11632.

13- Krugman, P. (1987). “Pricing to market when the exchange rate changes”. In Real-Financial Linkages Among Open Economies (S. Arndt and J.D. Richardson. Cambridge, MA: MIT Press.).

14- McCarthy. (1999). “Pass-through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies”. BIS Working Paper, 79.

15- Michele Ca Zorzi; Elke Hahn & Marcelo Sànchez. (2007) “Exchange rate pass through in emerging markets” ECB Working paper series N° 739 / MARCH 2007