Evolution of Exchange Rate Pass-through: Evidence from The Gambia

Jobarteh, Mustapha (2016): Evolution of Exchange Rate Pass-through: Evidence from The Gambia.

Abstract

The degree to which a change in exchange rate is reflected in changes in the domestic prices is termed exchange rate pass through (ERPT). In this work, we trace the evolutionary path of the ERPT to domestic prices in The Gambia using 60 windows of rolling VARs from 2002m1 to 2012m12. Our findings show pass through is higher in the long run than in the short run, and that irrespective of the horizon considered EPRT has been declining since 2002. Hence, exchange rate fluctuations those not seem to pose any significant threat to monetary policy in The Gambia.

• Item Type: MPRA Paper
• Language: English
• Keywords: Exchange Rate Pass Through, Inflation, Rolling VAR, The Gambia
• Subjects: E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies

References

Boamah, M. I. (2013) “Exchange Rate Pass-through in Countries of the Proposed West African Monetary Zone (WAMZ)”, Review of Economics & Finance 74–82.

Campa, J. M., & Goldberg, L. S. (2016) “Exchange Rate Pass-through into Import Prices”, The Review of Economics and Statistics Vol . 87, No. 4 (Nov.,2 005 ), pp . 679-690.

Dedeoglu, D and Kaya, H (2014) “The Evolution of Exchange Rate Pass-Through in Turkey: Does Inflation Targeting Matters?”, Afro Eurosain Studies Journal, Vol 3, Issue 1, Spring 2014.

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

Frimpong, S., & Adam, A. (2010) “Exchange rate pass-through in Ghana”, International Business Research, 186–192.

Hakan Kara and Fethi Öğünç (2008) “Inflation Targeting and Exchange Rate Pass-Through: The Turkish Experience”, Emerging Markets Finance & Trade, Vol . 44, No. 6 ,52-56.

Hamid Faruqee (2006) “Exchange Rate Pass-Through in the Euro Area”, IMF Staff Papers , Vol 53 , No . 1, pp . 63-88.

Knetter. M (1989) “Price Discrimination by US and Germany Exporters”, The American Economic Review 79, 198-209.

Krugman.P.R (1987) “Pricing to Market When the Exchange Rate Changes”, In S.W Arndt and J. D Richardson Editions, Real-financial Linkages among Open Economies.

Laflachell, Therese (1996) “The Import of Exchange Rate Movement on Consumer Prices”, Base of Canada Rerians writer, 21-32.

McCarthy, J. (1999) “Pass-Through of Exchange Rates and Import Prices to Domestic Inflation In Some Industrialized Economies”, Working Paper No. 79. Bank for International Settlements.

Ogundipe and Sameul (2013) “Exchange Rate Pass Through to Consumer Prices in Nigeria”, Journal of Business Management and Applied Economics, Vol II, Issue 4.

Taylor, J.B. (2000) “Low Inflation, Pass-Through, and the Pricing Power of Firm”, European Economic Review, vol. 44, no.7: 1389 – 1408.

Zietz, J. (1993) “The Impact of a Change in Exchange Rate Pass-through”, On US Imports”, Weltwirtschaftliches Archive, Bd 129, H. 4 , PP 718-734.