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Exchange rate pass-through to domestic prices in Tunisia: a short- and long-run analysis

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  • Kamel Helali
  • Maha Kalai

Abstract

This study analyses the impact of the exchange rate fluctuations in the short and long-run in Tunisia under a pure commitment policy through two channels. The first is the structural vector autoregression (SVAR) used to analyse the short run effects of the exchange rate on the industrial production index and on the consumer and import price indexes. The second is the vector error correction model (VECM) used to examine the long-run dynamic effects of the exchange rate upon the same variables relying on Tunisian monthly data during the period from January 1993 to June 2011. Unlike several empirical studies, the exchange rate is found to be a potential source not only of production but also of inflation reduction in Tunisia. Indeed, the direct channel of the exchange rate seems to have a significant impact on production and inflation in the long-run, whereas the indirect one has no effect on the money supply.

Suggested Citation

  • Kamel Helali & Maha Kalai, 2015. "Exchange rate pass-through to domestic prices in Tunisia: a short- and long-run analysis," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 8(3), pages 282-301.
    • Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:282-301
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    Citations

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    Cited by:

    1. Mohamed Ilyes Gritli, 2021. "Price inflation and exchange rate pass‐through in Tunisia," African Development Review, African Development Bank, vol. 33(4), pages 715-728, December.
    2. Hamdi Becha & Maha Kalai & Kamel Helali, 2023. "Smooth transition regression model relating inflation to economic growth in Tunisia," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 12(1), pages 1-26, December.
    3. Mohamed Ali Chroufa & Nouri Chtourou, 2023. "Asymmetric relationship between exchange rate and inflation in Tunisia: fresh evidence from multiple-threshold NARDL model and Granger quantile causality," SN Business & Economics, Springer, vol. 3(7), pages 1-21, July.
    4. Ibrahim Abdulhamid Danlami, 2020. "Revisiting the West African Commonwealth Countries’ Exchange Rate Pass-Through to Inflation," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(1), pages 70-77, March.

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