Exchange Rate Pass-Through To Import Prices In South Africa: Is There Asymmetry?
AbstractThis paper examines the magnitude and speed of exchange rate pass-through (ERPT) to import prices in South Africa. It further explores whether the direction and size of changes in the exchange rate have different pass-through effects on import prices, "i.e." whether the exchange rate pass-through is symmetric or asymmetric. The findings of the study suggest that ERPT in South Africa is incomplete but relatively high. Furthermore, ERPT is found to be higher in periods of rand depreciation than appreciation, which supports the binding quantity constraint theory. There is also evidence to suggest that pass-through is slightly higher in periods of small changes than large changes in the exchange rate in harmony with the menu cost theory when the invoices are denominated in the exporters' currency. Copyright (c) 2009 The Authors. Journal compilation (c) 2009 Economic Society of South Africa.
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Bibliographic InfoArticle provided by Economic Society of South Africa in its journal South African Journal of Economics.
Volume (Year): 77 (2009)
Issue (Month): 3 (09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0038-2280
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Other versions of this item:
- T D Karoro & M J Aziakpono & N Cattaneo, 2008. "Exchange rate pass-through to import prices in South Africa: Is there asymmetry?," Working Papers 79, Economic Research Southern Africa.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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- Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffrey P., 2012. "Nonlinear exchange rate pass-through in timber products: the case of oriented strand board in Canada and the United States," MPRA Paper 40834, University Library of Munich, Germany.
- Aron, Janine & Farrell, Greg & Muellbauer, John & Sinclair, Peter, 2010. "Exchange Rate Pass-through and Monetary Policy in South Africa," CEPR Discussion Papers 8153, C.E.P.R. Discussion Papers.
- Tatiana Lysenko & Geoff Barnard, 2011. "Strengthening the Macroeconomic Policy Framework in South Africa," OECD Economics Department Working Papers 847, OECD Publishing.
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