BRICS: How important is the exchange rate pass‐through?
| Autor: | Amalia Morales-Zumaquero, Rebeca Jiménez-Rodríguez |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
050208 finance 05 social sciences Price variance Exchange-rate pass-through Monetary economics Exchange rate Accounting Exchange rate volatility 0502 economics and business Political Science and International Relations Openness to experience Economics 050207 economics Volatility (finance) China Emerging markets Finance |
| Zdroj: | The World Economy. 43:781-793 |
| ISSN: | 1467-9701 0378-5920 |
| Popis: | This paper analyses the exchange rate pass‐through (ERPT) into domestic consumer prices in BRICS (Brazil, Russia, India, China and South Africa) countries from mid‐1990s onwards by using three different econometric approaches (i.e., the single equation approach, the VAR approach and the time‐varying parameter approach). It is also studied the role of macroeconomic determinants in ERPT. Our results suggest that (a) ERPT is higher for the emerging markets with mostly floating exchange rates (Brazil, Russia and South Africa) than for the other BRICS countries; (b) exchange rate explains, on average, around the 40% of the price variance for Brazil, Russia and South Africa; and (c) inflation volatility, exchange rate volatility and openness seem to be the key macroeconomic determinants in BRICS countries. |
| Databáze: | OpenAIRE |
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