Exchange Rate Pass-Through Over the Business Cycle in Singapore

Author/Editor: Siang Meng Tan ; Joey Chew ; Sam Ouliaris
Publication Date: June 01, 2011
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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 investigates exchange rate pass-through in Singapore using band-pass spectral regression techniques, allowing for asymmetric effects over the business cycle. First stage pass-through is estimated to be complete and relatively quick, confirming existing views that the exchange rate provides an effective tool to moderate imported inflation in Singapore. Asymmetric pass-through effects over the business cycle are also detected, with importers passing on a smaller share of exchange rate movements during boom periods as compared to recessions. This result suggest that Singapore’s exchange rate policy could afford to "lean against the wind," especially during cyclical expansions.
Series: Working Paper No. 11/141
Subject(s): Economic models

Author's Keyword(s): Exchange Rate Pass-Through | import prices | inflation | Singapore
Publication Date: June 01, 2011
ISBN/ISSN: 9781455266425/1018-5941 Format: Paper
Stock No: WPIEA2011141 Pages: 28
US$18.00 (Academic Rate:
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