## Exchange Rate Pass-Through in the Caucasus and Central Asia

_IMF Working Papers, August 7, 2020_

## Source details

**Canonical URL:** [Exchange Rate Pass-Through in the Caucasus and Central Asia](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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## Bibliographic details
- Authors: Tigran Poghosyan
- Published: August 7, 2020
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781513552958.001

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### Estimation approach and data
- 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.

### Key empirical findings
- Average pass-through in the CCA:
  - about 10 percent on impact
  - about 25 percent after 12 months
- 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.

### Implications for policy and practice
- 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 and keywords (as presented)
- 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

*Source: "Exchange Rate Pass-Through in the Caucasus and Central Asia", IMF Working Papers, August 7, 2020.*

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_Source: https://www.imf.org/en/publications/wp/issues/2020/08/07/exchange-rate-pass-through-in-the-caucasus-and-central-asia-49617_