beldi, lamia and djelassi, mouldi and kadria, mohamed (2017): Revisiting the Exchange Rate Pass-through in Emerging Markets.
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Abstract
This paper aims to investigate the links between exchange rate pass-through (ERPT) and monetary policy. We examine the degree of ERPT to consumer prices for 11 emerging markets (6 inflation targeters and 5 non-inflation targeters) using both multivariate cointegrated VAR (CVAR) and impulse responses derived from the vector error correction model (VECM). Results of cointegration analyses suggest that the degree of ERPT is lower in ITers than in non-ITers. Besides, the impulse response estimates at 48 months are extremely close to the cointegration estimates in IT countries compared to those non-IT countries. The adjustment process is fully completed during the considered time horizon in the impulse response analysis. This finding confirms the literature review on the importance of the inflation environment and the monetary policy credibility in determining ERPT. The level of ERPT tend to decline in the countries where monetary policy moved strongly towards stabilizing inflation.
Item Type: | MPRA Paper |
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Original Title: | Revisiting the Exchange Rate Pass-through in Emerging Markets |
Language: | English |
Keywords: | Exchange Rate pass-through; Domestic prices; Cointegration; Emerging Markets. |
Subjects: | 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 |
Item ID: | 80984 |
Depositing User: | lamia lamia beldi |
Date Deposited: | 26 Aug 2017 08:37 |
Last Modified: | 01 Oct 2019 16:28 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/80984 |
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Revisiting the Exchange Rate Pass-through in Emerging Markets. (deposited 02 Aug 2017 09:40)
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Revisiting the Exchange Rate Pass-through in Emerging Markets. (deposited 09 Aug 2017 23:38)
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- Revisiting the Exchange Rate Pass-through in Emerging Markets. (deposited 06 Aug 2017 21:12)
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Revisiting the Exchange Rate Pass-through in Emerging Markets. (deposited 09 Aug 2017 23:38)