Revisiting the Exchange Rate Pass-through in Emerging Markets

Lamia Beldi, Mouldi Djelassi and Mohamed Kadria

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Exchange Rate pass-through; Domestic prices; Cointegration; Emerging Markets. (search for similar items in EconPapers)
JEL-codes: E31 F31 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/80311/9/MPRA_paper_80311.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/80666/23/MPRA_paper_80666.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/80984/23/MPRA_paper_80666.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/80618/23/MPRA_paper_80618.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80311

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().