Exchange Rate Pass-through to Consumer Prices in the European Transition Economies

Mirdala, Rajmund

doi:10.1016/s2212-5671(14)00364-5

Cited by 15 publications

(12 citation statements)

References 12 publications

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“…oil prices). An insignificant response of exchange rate to the oil shocks are in line with findings from Mirdala (2014), who observed a lower vulnerability of exchange rate in response to the external shocks in the European transition countries with inflexible exchange regime compared with other countries with floating exchange rate regime. Yet, there is an internal tranmission from output gap and the exchange rate shocks to the price level.…”

Section: Data and Empirical Resultssupporting

confidence: 88%

Understanding the exchange rate pass-through to consumer prices in Vietnam: the SVAR approach

Hồ

2019

IJOEM

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Purpose The purpose of this paper is to examine the degree of the exchange rate pass-through (ERPT) to the consumer price index (CPI) at both aggregated and disaggregated levels in Vietnam. Updated data of the nominal effective exchange rate (NEER) and bilateral exchange rate (BiER) have been utilized in this study for the comparison purposes. Design/methodology/approach Advanced time-series approaches such as a structural vector autoregressive framework, structural impulse response functions (SIRFs), and structural forecast-error variance decomposition (SFEVD) are utilized in this paper. Findings Empirical findings from this paper present an incomplete degree of the ERPT to the aggregated CPI. The ERPT based on the BiER is observed to have substantially larger magnitude than the NEER-based pass-through. For the disaggregated level, the degree of the ERPT varies considerably across sub-components of the CPI, with a higher magnitude of the ERPT elasticity being found from the BiER estimations. The index of housing and construction materials has the largest ERPT based on the BiER, followed by the food and foodstuffs (1.00 and 0.56, respectively). The macroeconomic and financial environments as well as an economic integration into the global market may be the main causes of a higher ERPT in Vietnam in comparison with other ASEAN countries. Research limitations/implications The significant and incomplete pass-through of the exchange rate in Vietnam can affect firms’ and households’ budget planning, savings and profits. This finding generally implies that the cost of devaluation of the domestic currency affects the society as the whole in terms of welfare. The State Bank of Vietnam should carefully consider the overall effect of welfares when formulating and implementing strategies of currency devaluation. In addition, the Vietnamese economy becomes more sensitive to external vulnerabilities via changes of the exchange rate during an increasingly economic integration into the global market. In order to maintain inflation stability, it is vitally important to reduce the impact of exchange rate movements on the domestic prices, both aggregated and disaggregated levels, by pursuing either monetary policy credibility or inflation targeting. Originality/value Previous studies on the ERPT literature in the Asia region or for emerging countries focus mainly on the aggregated data of the CPI. Previous studies were conducted before the global financial crisis in 2008/2009. The current paper is the first of its kind to examine the pass-through from exchange rates to consumer prices in Vietnam using both aggregated and disaggregated data.

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Section: Data and Empirical Resultssupporting

confidence: 88%

Understanding the exchange rate pass-through to consumer prices in Vietnam: the SVAR approach

Hồ

2019

IJOEM

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“…Ayrıca döviz kurlarının üretici fiyatları üzerindeki etkisinin perakende fiyatları üzerindeki etkisine göre daha büyük olduğu bulunmuştur. Mirdala (2014), Avrupa'da yer alan 10 geçiş ekonomisine yönelik 2000-2007 ve 2000-2012 dönemleri için döviz kurlarının tüketici fiyatları üzerindeki geçiş etkisi VAR analiziyle incelemiştir. Çalışmanın sonuçlarına göre, söz konusu ülkelerde döviz kurlarının ithal fiyatlar ve enflasyon üzerinde her iki dönemde de pozitif yönlü bir geçiş etkisinin bulunduğu tespit edilmiştir.…”

Section: Literatür öZetiunclassified

Enflasyon Ve Dövi̇z Kurlari Arasindaki̇ İli̇şki̇: Türki̇ye Örneği̇ (2005.1 – 2018.12)

Erdoğan

2020

Uluslararası İktisadi Ve İdari Bilimler Dergisi

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Dr. Öğr. Üyesi Serdar ERDOĞAN* ÖZ: Döviz kurlarının ülke ekonomisinde satın alma gücü ve fiyatlar üzerindeki etkisi yadsınamaz. Bu durum göz önünde bulundurulduğunda döviz kuru ve enflasyon arasındaki ilişki büyük önem arz etmektedir. Bu çalışmada 2005.1 -2018.12 dönemi arasında Türkiye'de Dolar ve Euro döviz kurlarının enflasyonla ilişkisi Vektör Otoregresyon (VAR) yöntemi ile incelenmiştir. Ayrıca çalışmada Etki-Tepki Fonksiyonu, Varyans Ayrıştırması ve Granger Nedensellik analizine de yer verilerek söz konusu bulguların daha ayrıntılı şekilde gösterilmesi sağlanmıştır. Çalışmadaki bulgulara göre, enflasyonu etkileyen her iki döviz kurunun da kısa ve uzun dönemde pozitif yönde etkilediği görülmüştür. Enflasyon döviz kurlarını ise kısa dönemde pozitif yönde etkilerken, uzun dönemde bu etkilemenin negatif yönde ve sıfıra yakın düzeyde olduğu görülmüştür. Değişkenlerdeki değişmelerin kaynağının belirlenmesinde en güçlü açıklayıcının Dolar değişkeni olduğu tespit edilmiştir. Ayrıca nedensellik analizi açısından Dolar döviz kurundan enflasyona doğru tek yönlü bir nedensellik tespit edilmiştir.

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“…On the other hand, he found that in periods of high inflation, inflation responds highly to output gap and exchange rate than in periods of declining inflation. Mirdala (2014) explains that exchange rate variations determine the pass-through effects and absorption of exchange rate. Transmission of outside shocks to the economy is a nowadays discussion among experts.…”

Section: Review Of Related and Empirical Literaturementioning

confidence: 99%

“…This issue encouraged researchers to study its impacts on the consumer prices. Hüfner and Schrӧder (2002), Cheikh and Rault (2015), Comunale and Kunovac (2017) and Mirdala (2014). Based on McCarthy (2000), pass-through of exchange rate, symmetric oil price shock, adaptive expectations and output gap to inflation are implemented.…”

Section: Introductionmentioning

confidence: 99%

The Exchange Rate Pass-Through into Inflation with Symmetric Oil Price Shocks: An Empirical Analysis for Saudi Arabia: 1970-2015

Algaeed¹

2018

American Journal of Applied Sciences

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The purpose of this paper is to analyze theoretically and empirically the relationship between inflation as a dependent variable and bilateral exchange rate, output gap and symmetric oil price shocks. The ARDL methodology is employed considering the period of 1970-2015. The exchange rate pass-through to inflation will be thoroughly investigated. Johansen's testing procedure confirms the existence of longrun relationships between consumer price inflation, exchange rate, symmetric oil price changes and output gap as a proxy for aggregate demand. The estimation results reveal that depreciation of the exchange rate and the symmetric oil price shocks are main factors responsible for long-run domestic consumer price inflation in Saudi Arabia. Although the output gap as a proxy for aggregate demand had the right sign but its contribution is little in explaining the variations in domestic inflation in the long-run. This could be attributed to the sufficient Saudi economic capacity. In economic literature, the findings here are in line and consistent with other researchers' estimation results.

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Exchange Rate Pass-through to Consumer Prices in the European Transition Economies

Cited by 15 publications

References 12 publications

Understanding the exchange rate pass-through to consumer prices in Vietnam: the SVAR approach

Understanding the exchange rate pass-through to consumer prices in Vietnam: the SVAR approach

Enflasyon Ve Dövi̇z Kurlari Arasindaki̇ İli̇şki̇: Türki̇ye Örneği̇ (2005.1 – 2018.12)

The Exchange Rate Pass-Through into Inflation with Symmetric Oil Price Shocks: An Empirical Analysis for Saudi Arabia: 1970-2015

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