An Assessment of the Exchange Rate Pass-Through in Angola and Nigeria

ByAna Lariau, Moataz El-Said, Misa Takebe

September 20, 2016

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper estimates the exchange rate pass-through to consumer price inflation in Angola and Nigeria, with particular emphasis on the changes of the pass-through over time. Even though the two countries share smilar dependence on oil exports, this paper reveals different results. For Angola, the long-run exchange rate pass-through to prices is high, though it has weakened in recent years reflecting the de-dollarization of the economy. In Nigeria, there is no stable long-run relationship between the exchange rate and prices, and changes in the exchange rate do not have a significant pass-through effect on inflation. However, the passthrough effect on core inflation is significant.

Subject: Consumer price indexes, Exchange rate pass-through, Exchange rates, Foreign exchange, Import prices, Inflation, Prices

Keywords: Consumer price indexes, Exchage rate path-through, exchange rate pass-through, Exchange rate pass-through, Exchange rates, Global, headline inflation, Import prices, inflation, interaction term, long-run exchange rate pass-through to inflation, monetary policy, Nigeria, oil-producing countries, pass-through, pass-through coefficient, pass-through effect, pass-through elasticity, pass-through elasticity half, pass-through to inflation, price, Sub-Sahara Africa, WP

Pages:
31
Volume:
2016
DOI:
https://doi.org/10.5089/9781475537529.001
Issue:
191
Series:
Working Paper No. 2016/191
Stock No:
WPIEA2016191
ISBN:
9781475537529
ISSN:
1018-5941

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