An Empirical Investigation of Exchange Rate Pass-Through in South Africa

September 1, 2002

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Format: Chicago

Ashok Bhundia. An Empirical Investigation of Exchange Rate Pass-Through in South Africa, (USA: International Monetary Fund, 2002) accessed November 23, 2024

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 analyzes the degree to which fluctuations in the nominal exchange rate passthrough to consumer prices in South Africa. While the average pass-through is found to be low, evidence from a structural vector autoregression suggests it is much higher for nominal (versus real) shocks. Historical decompositions suggest that the nominal exchange rate depreciation up to November 2001 is attributable primarily to negative real shocks, which explains why CPIX (consumer price index excluding interest on mortgate bonds) inflation did not increase significantly until December 2001, when positive nominal shocks began to contribute to the depreciation.

Subject: Exchange rates, Foreign exchange, Import prices, Inflation, Nominal effective exchange rate, Prices, Producer prices, Real exchange rates

Keywords: Africa, CPIX inflation, Exchange rate, Exchange rates, Import price shock, Import prices, Inflation, Pass-through, Pass-through dynamics, Pass-through elasticity, Price, Producer price inflation, Producer prices, Real exchange rates, Structural VAR, WP

Publication Details

Pages:

28
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2002/165
Stock No:

WPIEA1652002
ISBN:

9781451858068
ISSN:

1018-5941

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