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

 
Author/Editor: Bhundia, Ashok
 
Publication Date: September 01, 2002
 
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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): Exchange rates | South Africa | Producer prices | Exchange rate instability

Author's Keyword(s): Pass-through | exchange rate | producer prices | structural VAR
 
English
Publication Date: September 01, 2002
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA1652002 Pages: 28
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