Exchange Rate Pass-through to Import Prices, and Monetary Policy in South Africa

Autor:	Janine Aron, John Muellbauer, Peter Sinclair, Greg Farrell
Rok vydání:	2014
Předmět:	Inflation Exchange rate Price index Inflation targeting media_common.quotation_subject Keynesian economics Exchange rate volatility Monetary policy Single equation Economics Exchange-rate pass-through Development media_common
Zdroj:	BASE-Bielefeld Academic Search Engine
ISSN:	1743-9140 0022-0388
DOI:	10.1080/00220388.2013.847179
Popis:	Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy responses. This article examines exchange rate pass-through to the monthly import price index in South Africa during 1980–2009. Short-horizon pass-through estimates are calculated using both single equation equilibrium correction models and systems (Johansen) models, controlling for both domestic and foreign costs. Average pass-through is incomplete at about 50 per cent within a year and 30 per cent in six months, and in the long-run, from the Johansen analysis including feedback effects, is about 55 per cent. There is evidence of slower pass-through under inflation targeting; pass-through is found to decline with recent exchange rate volatility and there is evidence for asymmetry, with greater pass-through occurring for small appreciations.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::78c119d0f0489aa35588e9e227443cbd https://doi.org/10.1080/00220388.2013.847179 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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