Exchange Rate Pass-through to Domestic Prices in Thailand, 2000-2017

Jiranyakul, Komain (2018): Exchange Rate Pass-through to Domestic Prices in Thailand, 2000-2017.

Abstract

This paper explores the degree of exchange rate pass-through to domestic prices in Thailand using quarterly data from 2000Q1 to 2017Q4. Johansen cointegration tests are employed in the analysis. The degree of exchange rate pass-through is found to be partial and modest. The stable pass-through effect, in the long run, is found for the import price index. The findings give some implications for risk perception by firms and investors regarding the future inflationary environment of the country.

• Item Type: MPRA Paper
• Language: English
• Keywords: Exchange rate, domestic prices, cointegration
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; 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

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