{
  "title": "Exchange Rate Pass-Through in the Caucasus and Central Asia",
  "publication": "IMF Working Papers, August 7, 2020",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2020/08/07/exchange-rate-pass-through-in-the-caucasus-and-central-asia-49617",
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  "summary": "This paper estimates the extent and speed of exchange rate pass-through (ERPT) in seven Caucasus and Central Asia (CCA) countries using monthly data over the January 1995–May 2020 period. The estimations are performed using the local projections method.",
  "sections": [
    {
      "heading": "Estimation approach and data",
      "content": "- Monthly data over the January 1995–May 2020 period for seven Caucasus and Central Asia (CCA) countries.\n- Estimations are performed using the local projections method."
    },
    {
      "heading": "Key empirical findings",
      "content": "- Average pass-through in the CCA:\n  - about 10 percent on impact\n  - about 25 percent after 12 months\n- No evidence of asymmetric ERPT with respect to the size and the sign of exchange rate changes.\n- The pass-through is broadly unchanged in fixed versus floating exchange rate regimes.\n- There has been a downward shift in the speed of ERPT in the aftermath of the global financial crisis as CCA countries have entered a relatively low inflation environment."
    },
    {
      "heading": "Implications for policy and practice",
      "content": "- The pass-through estimates could be used by CCA monetary authorities for inflation projections.\n- The absence of non-linearities in the pass-through with respect to the exchange rate regime suggests that transition from fixed to floating exchange rate regimes in the region is not likely to impose additional inflationary costs."
    },
    {
      "heading": "Subjects and keywords (as presented)",
      "content": "- Subjects: Exchange rate adjustments, Exchange rate arrangements, Exchange rate pass-through, Exchange rates, Foreign exchange, Inflation, Prices\n- Keywords: CCA country, Central Asia and the Caucasus, confidence interval, CPI inflation, currency vis-à-vis, Exchange rate adjustments, Exchange rate arrangements, Exchange rate pass-through, exchange rate regime, Exchange rates, Global, IMF staff estimation, Inflation, inflation environment, local projections, pass-through in CIS country, Sub-Saharan Africa, WP\n\nSource: \"Exchange Rate Pass-Through in the Caucasus and Central Asia\", IMF Working Papers, August 7, 2020.\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2020/08/07/exchange-rate-pass-through-in-the-caucasus-and-central-asia-49617"
    }
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    "Authors: Tigran Poghosyan",
    "Published: August 7, 2020",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513552958.001",
    "Monthly data over the January 1995–May 2020 period for seven Caucasus and Central Asia (CCA) countries.",
    "Estimations are performed using the local projections method.",
    "Average pass-through in the CCA:",
    "No evidence of asymmetric ERPT with respect to the size and the sign of exchange rate changes.",
    "The pass-through is broadly unchanged in fixed versus floating exchange rate regimes.",
    "There has been a downward shift in the speed of ERPT in the aftermath of the global financial crisis as CCA countries have entered a relatively low inflation environment.",
    "The pass-through estimates could be used by CCA monetary authorities for inflation projections.",
    "The absence of non-linearities in the pass-through with respect to the exchange rate regime suggests that transition from fixed to floating exchange rate regimes in the region is not likely to impose additional inflationary costs.",
    "Subjects: Exchange rate adjustments, Exchange rate arrangements, Exchange rate pass-through, Exchange rates, Foreign exchange, Inflation, Prices",
    "Keywords: CCA country, Central Asia and the Caucasus, confidence interval, CPI inflation, currency vis-à-vis, Exchange rate adjustments, Exchange rate arrangements, Exchange rate pass-through, exchange rate regime, Exchange rates, Global, IMF staff estimation, Inflation, inflation environment, local projections, pass-through in CIS country, Sub-Saharan Africa, WP",
    "**Working Paper**"
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