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

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  • Parsley, David

Abstract

This paper studies exchange rate pass-through in South Africa at the most disaggregated level possible. To accomplish this, two distinct panels of disaggregated data are employed. The first data set contains annual prices of 158 individual goods and services at the consumer level from 1990 to 2009. The second panel contains quarterly average import unit-values for twenty-six 8-digit import categories from ten of South Africa’s top trading partners from 1998 Q1 to 2009 Q2. The study finds low pass-through to consumer prices (between 15 and 25 percent in the two years following an exchange rate change), slow convergence to long run purchasing power parity (6.4 years), and no apparent tendency for pass-through to have declined during the last twenty years. Relatively high estimates were found for import price pass-through from Brazil and the United States (75 percent), while Taiwan, Switzerland, India, Great Britain, and Germany were nearer the overall average of 60 percent. As with final consumer prices, there is little evidence of a decline in pass-through to import prices.

Suggested Citation

  • Parsley, David, 2010. "Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services," MPRA Paper 21115, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:21115
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    References listed on IDEAS

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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

    Keywords

    exchange rate pass-through;

    JEL classification:

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

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