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Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services

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  • David C. Parsley

Abstract

This study estimates pass-through for South Africa using samples of final goods and services, and homogenous imports. Estimated pass-through to consumer goods prices is low, roughly 16 per cent in the two years following an exchange rate change; surprisingly, it is somewhat higher for services. Deviations from long run PPP appear to disappear relatively quickly, with a half-life of about 16 months. For imports, pass-through estimates are much higher, averaging around 60 per cent, but with wide source-country variation. Finally, there is virtually no support for a simple linear trend change in either pass-through or in reversion to PPP during the sample.

Suggested Citation

  • David C. Parsley, 2012. "Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services," Journal of Development Studies, Taylor & Francis Journals, vol. 48(7), pages 832-846, January.
  • Handle: RePEc:taf:jdevst:v:48:y:2012:i:7:p:832-846
    DOI: 10.1080/00220388.2012.661852
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    Cited by:

    1. 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.
    2. Janine Aron & Ronald Macdonald & John Muellbauer, 2014. "Exchange Rate Pass-Through in Developing and Emerging Markets: A Survey of Conceptual, Methodological and Policy Issues, and Selected Empirical Findings," Journal of Development Studies, Taylor & Francis Journals, vol. 50(1), pages 101-143, January.
    3. Azwifaneli I. Nemushu, 2016. "Rand volatility and inflation in South Africa," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(6), pages 8-20, December.
    4. Janine Aron & Kenneth Creamer & John Muellbauer & Neil Rankin, 2014. "Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data," Journal of Development Studies, Taylor & Francis Journals, vol. 50(1), pages 165-185, January.
    5. Alain Kabundi & Asi Mbelu, 2016. "Working Paper– WP/16/10- Has the Exchange Rate Pass-Through changed in South Africa?," Papers 7556, South African Reserve Bank.

    More about this item

    JEL classification:

    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • F30 - International Economics - - International Finance - - - General

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