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The Determinants of Time-Varying Exchange Rate Pass-Through in South Africa

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  • Charl Jooste
  • Yaseen Jhaveri

Abstract

The pass-through of shifts in the rand exchange rate to consumer price inflation has been well documented for South Africa. Although estimates of the absolute level of pass-through vary, some studies document a decline in pass-through over time. In order to better illuminate the policy implications of pass-through, this paper seeks to add to the literature by decomposing pass-through into a number of time-varying impulses. This has the advantage of providing deeper insights of pass-through over time and across various monetary policy regimes. We then analyse the determinants of time-varying pass-through. Our results confirm that pass-through has declined over time but is subject to a stable and low inflation environment. We also show that a volatile exchange rate leads to higher pass-through.

Suggested Citation

  • Charl Jooste & Yaseen Jhaveri, 2014. "The Determinants of Time-Varying Exchange Rate Pass-Through in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 603-615, December.
  • Handle: RePEc:bla:sajeco:v:82:y:2014:i:4:p:603-615
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    File URL: http://hdl.handle.net/10.1111/saje.12058
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    Cited by:

    1. Dahem, Ahlem & Skander, Slim & Fatma, Siala Guermazi, 2017. "Time Varying VAR Analysis for Disaggregated Exchange Rate Pass-through in Tunisia," MPRA Paper 79759, University Library of Munich, Germany, revised 2017.
    2. Mehmet Balcilar & Rangan Gupta & Charl Jooste, 2014. "Is the Rand Really Decoupled from Economic Fundamentals?," Working Papers 201439, University of Pretoria, Department of Economics.
    3. Alain Kabundi & Asi Mbelu, 2016. "Working Paper– WP/16/10- Has the Exchange Rate Pass-Through changed in South Africa?," Working Papers 7556, South African Reserve Bank.

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