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

Author/Editor:

Ashok Bhundia

Publication Date:

September 1, 2002

Electronic Access:

Free Full text (PDF file size is 701 KB).Use the free Adobe Acrobat Reader to view this PDF file

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.

Series:

Working Paper No. 02/165

Subject(s):

English

Publication Date:

September 1, 2002

ISBN/ISSN:

9781451858068/1018-5941

Stock No:

WPIEA1652002

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

28

Please address any questions about this title to publications@imf.org