The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors

Comunale, Mariarosaria; Simola, Heli

doi:10.1016/j.ribaf.2017.07.076

Cited by 15 publications

(22 citation statements)

References 41 publications

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“…We find that the average speed of the pass-through in the CCA is about 10 percent on impact and about 25 percent after 12 months. The average pass-through in the CCA countries is somewhat higher than the pass-through in the CIS countries (Comunale and Simola, 2018) and 28 emerging economies (Caselli and Roitman, 2016), but it is lower compared to the pass-through in Sub-Saharan Africa countries . The pass-through is somewhat higher in CCA energy-importing countries compared to CCA energy-exporting countries, which could be explained by structural differences across these countries (economic diversification, reliance on remittances, proportion of imported goods in CPI baskets).…”

Section: Introductionmentioning

confidence: 72%

“…While Bussiere (2013) for G7 countries and Colavecchio and Rubene (2020) for 19 euro area countries find that the pass-through is higher for exchange rate appreciations, Delatte and Villavicencio (2012) for 4 major developed countries and Caselli and Roitman (2016) for 28 emerging markets find that the pass-through is lower for exchange rate appreciations. Comunale and Simola (2018) for 7 CIS countries find no evidence of sign asymmetries in the pass-through, while Ben Cheikh (2012) for 12 euro area countries finds that the pass-through is higher for exchange rate depreciations in some countries and lower in others.…”

Section: Literature Reviewmentioning

confidence: 99%

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Exchange rate pass-through in the Caucasus and Central Asia

Poghosyan

2021

Journal of the Asia Pacific Economy

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This paper estimates the extent and speed of exchange rate pass-through (ERPT) in seven Caucasus and Central Asia (CCA) countries using monthly data over the January 1995-May 2020 period. The estimations are performed using the local projections method. We find that the average pass-through in the CCA is about 10 percent on impact and about 25 percent after 12 months. There is no evidence of asymmetric ERPT with respect to the size and the sign of exchange rate changes. The pass-through is broadly unchanged in fixed versus floating exchange rate regimes. There has been a downward shift in the speed of ERPT in the aftermath of the global financial crisis as CCA countries have entered a relatively low inflaiton environment. The pass-through estimates could be used by the CCA monetary authorities for inflation projections. The absence of non-linearities in the pass-through with respect to the exchange rate regime suggests that transition from fixed to floating exchange rate regimes in the region is not likely to impose additional inflationary costs.

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Section: Introductionmentioning

confidence: 72%

Section: Literature Reviewmentioning

confidence: 99%

Exchange rate pass-through in the Caucasus and Central Asia

Poghosyan

2021

Journal of the Asia Pacific Economy

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“…Additionally, the completion of ERPT is determined by the assumptions of perfectly competitive markets, fully flexible prices and the consistency of law of one price. Thus, it can be inferred that deviations from those situations can cause incomplete ERPT [21]. The vast body of empirical literature on ERPT indicates that pass-through is highest for import prices and lowest for consumer prices, while cross-country variation in the pass-through can be accepted as a major factor.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Beckmann and Fidrmuc [23] also exposed that the long-run pass-through was around 60% for both currencies. Most recently, [21] studied the ERPT for the case of CIS countries using heterogeneous panel frameworks and control for cross-sectional dependence. It was found that the ERPT was relatively high and rapid for CIS countries in the case of the nominal effective exchange rate, but not significant for the bilateral rate with the US dollar.…”

Section: Literature Reviewmentioning

confidence: 99%

Impacts of Exchange Rate Volatility on Macroeconomic and Financial Variables: Empirical Evidence from PVAR Modeling

Özçelebi¹

2018

Trade and Global Market

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In this study, Panel Vector Autoregression (PVAR) models are used to determine the impacts of exchange rate volatility on industrial production growth rate, consumer price inflation, short-term interest rates and stock returns for 10 OECD countries. The variance decompositions (VDCs) found that exchange rate volatility can be a secondary factor for the variations in immediate interest rates, implying that Uncovered Interest Rate Parity (UIP) condition should be analyzed by the inclusion of other macroeconomic variables. Impulse response functions (IRFs) expose that volatility in exchange rates can have a positive impact on the liquidity conditions in money market and an increase in real economic activity because investors have to move their money away from currency markets to money markets. The relatively lower impact of exchange rate volatility may arise from the zero bound problem, thus it is emphasized that the examination of impacts on exchange rate volatility on macroeconomics variables should be made both considering conventional and unconventional monetary policy. Although impulse response functions (IRFs) did not detect the significant impact of exchange rate volatility on inflation, VDCs obtained supporting results to exchange rate pass-through (ERPT). I suggest that the monetary policy to be developed should clarify alternative channels that exchange rate may affect inflation.

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“…Faryna & Simola (2018) also report a high sensitivity to US, euro area, Russian, and Chinese output shocks. In addition, several studies provide evidence for the importance of the CIS region in inflation and exchange rate developments, see Comunale & Simola (2018), Faryna (2016a), Beckmann & Fidrmuc (2013), and Dreger & Fidrmuc (2011).…”

Section: Introductionmentioning

confidence: 99%

How Trade Composition Affects Sensitivity to Foreign Shocks: Applying a Global VAR Model to Ukraine

Faryna¹,

Simola

2019

VNBU

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This paper studies the transmission of foreign output shocks to real activity in Ukraine through international trade. We employ a global vector auto regressive (GVAR) model that captures about 80% of the world economy and incorporates time-varying trade and financial weights. According to our estimates, a mild recession in the US of a 1% drop in output generates a substantial recession in Ukraine of about 2.2%. A similar drop of output in the euro area and Russia translates to a drop in output of about 1.7% in Ukraine. Finally, the same drop of output in CEE, China, or the CIS leads to an output decline of about 0.4% in Ukraine. Meanwhile, Ukraine’s response to euro area output shock has been steadily increasing over the last couple of decades due to changes in global trade flows. Ukraine’s sensitivity to shocks in the US and euro area is notably strengthened by indirect trade effects, while the response to shocks from emerging economies, i.e., China, CEE, the CIS, and partially Russia, is mainly determined by bilateral trade linkages.

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The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors

Cited by 15 publications

References 41 publications

Exchange rate pass-through in the Caucasus and Central Asia

Exchange rate pass-through in the Caucasus and Central Asia

Impacts of Exchange Rate Volatility on Macroeconomic and Financial Variables: Empirical Evidence from PVAR Modeling

How Trade Composition Affects Sensitivity to Foreign Shocks: Applying a Global VAR Model to Ukraine

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