A Survey on Exchange Rate Pass through in Emerging Markets

Cengiz Tunç

doi:10.25229/beta.334253

EN TR

A Survey on Exchange Rate Pass through in Emerging Markets

Öz

This article reviews the literature on exchange rate pass-through in emerging markets with a special focus on the burgeoning empirical research. The literature has overwhelmingly agreed on the recent decline in the pass through in low inflationary environment after the adoption of inflation targeting in many countries. However, the empirical evidences also suggest varying degrees of the pass-through depending on the size and direction of exchange rate changes. Finally, researches on the exchange rate pass-through on disaggregated price indices or the differential pass-through due to the source of exchange rate changes are becoming promising research strands for the estimation of the pass through.

Anahtar Kelimeler

Exchange rate pass-through,Emerging Economies

Kaynakça

Ahmad, N. B. (2009). The Dynamics of Exchange Rate Pass-Through into Domestic Prices in Malaysia. International Islamic University of Malaysia Doctoral Thesis.
Aleem, A., Lahiani, A. (2014). A Threshold Vector Autoregression Model of Exchange Rate Pass-through in Mexico. Research in International Business and Finance 30, 24– 33
Arintoko, A. (2011). Structural Breaks and Bilateral Exchange Rate Pass-through: An Empirical Case of India-United States. Jurnal Ekonomi Pembangunan, 12(1), 1-14.
Aron, J., Farrell, G., Muellbauer, J., Sinclair, P. (2014a). Exchange Rate Pass-through to Import Prices, and Monetary Policy in South Africa. The Journal of Development Studies, 50(1), 144-164.
Aron, J., Creamer, K., Muellbauer, K., Rankin, J. N. (2014b). Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data. The Journal of Development Studies, 50(1), 165-185.
Arratibel, O., Michaelis, H. (2014). The Impact of Monetary Policy and Exchange Rate Shocks in Poland: Evidence from a Time-varying VAR. European Central Bank WP, 1636.
Babecka-Kucharcukova, O. Transmission of Exchange Rate Shocks into Domestic Inflation: The Case of the Czech Republic. Czech Journal of Economics and Finance, 59(2), 137-152.
Bache, I. W. (2006). Econometrics of exchange rate pass-through. Norges Bank Doctoral Dissertations in Economics, No:6.
Barhoumi, K. (2006). Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation. Economic Modelling, 23(6), 926–951.
Bhattacharya, R., Patnaik, I., Shah, A. (2008). Exchange rate pass-through in India. Manuscript.

Campa, J. M., Goldberg, L. S. (2002). Exchange Rate pass-through into Import Prices: A Macro or Micro Phenomenon. NBER Working Paper, 8934.
Campa, J. M., Goldberg L. S. (2005). Exchange Rate Pass-through into Import Prices. The Review of Economics and Statistics, 2005, 87(4), 679–690
Carmen M. R., Kenneth S. R., Miguel A. S. (2014). Addicted to Dollars. Annals of Economics and Finance, 15(1), 1-50.
Caselli, F. G. Roitman, A. (2016). Non-Linear Exchange Rate Pass-Through in Emerging Markets. IMF Working Paper, WP/16/1.
Central Bank of Russia (2014). Monetary Policy Report 3-2014.
Chai-anant, C., Pongsaparn R. and Tansuwanarat K. (2008). Role of Exchange Rate in Monetary Policy under Inflation Targeting: a Case Study of Thailand. Bank of Thailand Symposium.
Correa, A. S., Minella, A. (2010). Nonlinear Mechanisms of the Exchange Rate Pass-Through: A Phillips Curve Model with Threshold for Brazil. Revista Brasileira de Economia,64(3), 231–243.
Coulibaly, D., Kempf, H. (2010). Does Inflation Targeting Decrease Exchange Rate Pass-through in Emerging Countries? Documents de travail du Centre d'Economie de la Sorbonne, No. 2010.49
Edwards, K., Sahminan, S. (2008). Exchange Rate Movements in Indonesia: Determinants, Effects, and Policy Challenges. Bank Indonesia WP, 25/2008.
Edwards, S. (2006). The Relationship Between Exchange Rates and Inflation Targeting Revisited. Central Bank of Chile Working Paper, No.409.
Espada, J. F. C. (2013). Estimating the Exchange Rate Pass-through to Prices in Mexico. Monetaria, 1(2),287-316.
Flodén, M., Wilander, F. (2006). State dependent pricing, invoicing currency, and exchange rate pass-through. Journal of International Economics 70, 178–196.
Forbes, K, Hjortsoe, I., and Nenova, T. (2015). “The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-Through.” MIT Sloan School Working Paper, No.5149-15.
Forero, F. J. P., Vega, M. (2015). Asymmetric exchange rate pass-through: Evidence from Peru. Central Bank of Peru Working Paper, 2015-011
Ghosh, A. (2013). Exchange Rate Pass Through, Macro Fundamentals and Regime Choice in Latin America. Journal of Macroeconomics, 35, 163–171.
Guinigundo, D. C. (2008). Transmission mechanism of monetary policy in the Philippines. BIS Papers, 35, 413-425.
Hajeka, J. Horvath, R. (2016). Exchange Rate Pass-Through in an Emerging Market: The Case of the Czech Republic. Emerging Markets Finance and Trade, forthcoming.
Hajnal, M. Molnár, G., Várhegyi, J. (2015). Exchange rate pass-through after the crisis: the Hungarian experience. MNB Occasional Papers, 121.
Hau, H. (2002). Real Exchange Rate Volatility and Economic Openness: Theory and Evidence. Journal of Money, Credit and Banking, 34(3), 611-630.
Ito, T., Sato, K. (2008). Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass- Through. Journal of Money, Credit and Banking, 40(7), 1407-1438.
Jiang, J. Kim, D. (2013). Exchange Rate Pass-through to Inflation in China. Economic Modelling, 33, 900–912.
Jin, X. (2012). An Empirical Study of ExchangeRate Pass-Through in China. Panoeconomicus, 59(2), 135-156
Jitpokkasame, P. (2007). Exchange Rate Pass through Consumer Price in Thailand. Thammasat Univerisity Master Thesis.
Justel, S., Sansone, A. (2015). Exchange Rate Pass-Through to Prices: VAR Evidence for Chile. Central Bank of Chile Working Papers, #747.
Kapur, M., Behera, H. (2012). Monetary Transmission Mechanism in India: A Quarterly Model. Reserve Bank of India WP, 09/2012
Kara, A. H. and Ogunc, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Market Finance & Trade 44(6), 52–66.
Kara, A. H. and Ogunc, F. (2012). ‘Döviz kuru and ithalat fiyatlarinin yurtici fiyatlara etkisi. Iktisat Isletme ve Finans 27(317), 9–28.
Khundrakpam, J. K. (2007). Economic reforms and exchange rate pass-through to domestic prices in India. BIS Working Papers, #225.
Kılınç, M., Tunç, C., Yörükoğlu, M. (2016). Twin Stability Problem: Joint Issue of High Current Account Deficit and High Inflation. BIS Paper, forthcoming.
Kohlscheen, E. (2010). Emerging Floaters: Pass-throughs and (Some) New Commodity Currencies. Journal of International Money and Finance, 29, 1580–1595.
Kucharčuková, O. B., Franta, M., Hájková, D., Král, D. Kubicová, I., Podpiera, A., Saxa, B. (2013). What We Know About Monetary Policy Transmission in the Czech Republic: Collection of Empirical Results. The Research and Policy Notes of the Czech National Bank (CNB), 2013-1.
Kuncoro, H. (2015). Inflation Targeting, Exchange Rate Pass-through, and Monetary Policy Rule in Indonesia. International Journal of Business, Economics and Law, 7(3), 14-25.
Leigh, D. and Rossi, M. (2002). Exchange rate pass-through in Turkey. IMF Working Paper WP/02/204.
Lopez-Villavicencio, A., Mignon, V. (2016). Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and institutional quality matter? Document de Travail Working Paper, 2016-18.
María-Dolores, R. (2010). Exchange Rate Pass-through in New Member States and Candidate Countries of the EU. International Review of Economics and Finance, 19(1), 23–35.
McCarthy,J. (2000). Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies. BIS Working Papers, No 79.
Menon, J. (1996). The Degree and Determinants of Exchange Rate Pass-Through: Market Structure, Non-Tariff Barriers and Multinational Corporations. The Economic Journal, 106(435), 434-444.
Mihaljek, D., Klau, M. (2008). Exchange Rate Pass-through in Emerging Market Economies: What has Changed and Why?, BIS Papers No:35, 10,-130.
Morandé, F. G., Tapia, M. (2002). Exchange Rate Policy in Chile: Fom the Band to Floating and Beyond. Central Bank of Chile Working Papers, #152
Nogueira, R. P. (2010). Inflation Environment and Lower Exchange Rate Pass-through in Brazil: Is There a Relationship? Revista Brasileira de Economia, 64(1), 49-56.
Nogueira, R. P., Leon-Ledesmab, M. A. (2009). Fear of Floating in Brazil: Did Inflation Targeting matter? The North American Journal of Economics and Finance, 20(3), 255–266.
Odria, L. R. M., Castillo, P. Rodriguez, G. (2012). Does the exchange rate pass-through into prices change when inflation targeting is adopted? The Peruvian case study between 1994 and 2007. Journal of Macroeconomics, 34(4), 1154–1166.
Ozkan, I., Erden, L. (2015). Time-varying nature and macroeconomic determinants of exchange rate pass-through. International Review of Economics and Finance, 38, 56–66
Özmen, M. U., Topaloğlu, M. (2016). Disaggregated Evidence for Exchange Rate and Import Price Pass-through in the Light of Identification Issues, Aggregation Bias and Heterogeneity. Manuscript.
Parsley, D. C. (2010). Exchange Rate Pass-through in South Africa: Panel Evidence from Individual Goods and Services. South African Reserve Bank WP, 10/03.
Peóna, S. B. G., Brindisb, M. A. R. (2014). Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation. Ensayos sobre Política Económica, 32(74), 18-35.
Ponomarev, Y., Trunin, P. Uluykaev, A. (2016). Exchange Rate Pass-through in Russia. Problems of Economic Transition, 58(1), 54-72.
Prasertnukul, W. Kim, D., Kakinaka, M. (2010). Exchange Rates, Price Levels, and Inflation Targeting: Evidence from Asian Countries. Japan and the World Economy, 22(3), 173–182.
Razafimahefa, I. F. (2012). Exchange Rate Pass-Through in Sub-Saharan African Economies and its Determinants. IMF Working Paper, WP/12/141.
Rincón, H., Rodríguez, N. (2016). Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach. Central Bank of Colombia WP, #930
Rowland, P. (2013). Exchange Rate Pass-Through to Domestic Prices: The Case of Colombia. Central Bank of Colombia WP, #254.
Sadeghi, S. K., Feshari, M., Marvasti, M. B., Ghanbari, Z. (2015). Exchange Rate Pass - Through and Inflation in Dollarized Economies: Evidence from the Middle Eastern and North African Countries. Iranian Economic Review, 19(2), 139-147.
Shambaugh, J. (2008). A new look at pass-through. Journal of International Money and Finance 27, 560-591.
Shu, C., Su, Xiaojing. (2009). Exchange Rate Pass-through in China. China &World Economy, 17(1), 33-46.
Stoian, A., Murarașu, B. (2015). On the exchange rate pass-through in Romania. National Bank of Romania Occasional Papers, No. 18.
Taylor, J. B. (2000). Low Inflation, Pass-through, and the Pricing Power of Firms. European Economic Review, 44, 1389-1408.
Vonnak, B. (2010). Risk premium shocks, monetary policy and exchange rate pass-through in the Czech Republic, Hungary and Poland. Ensayos sobre Politica Economica, 28(61), 308-351.
Wang, J., Li, N. (2010). Exchange Rate Pass-Through: The Case of China. Frontiers of Economics in China, 5(3), 356–374
Winkelried, D. (2014). Exchange rate pass-through and inflation targeting in Peru. Empirical Economics, 46(4), 1181-1196.
Yüncüler, Ç. (2011). Pass-through of External Factors into Price Indicators in Turkey. Central Bank Review, 11(2), 71-84

Ayrıntılar

Birincil Dil

İngilizce

Konular

İşletme

Bölüm

Derleme

Yazarlar

Cengiz Tunç
TOROS ÜNİVERSİTESİ
0000-0001-7561-2827
Türkiye

Yayımlanma Tarihi

30 Eylül 2017

Gönderilme Tarihi

11 Ağustos 2017

Kabul Tarihi

5 Kasım 2017

Yayımlandığı Sayı

Yıl 2017 Cilt: 2 Sayı: 3

DOI

https://doi.org/10.25229/beta.334253

IZ

https://izlik.org/JA78FZ68CJ

APA

Tunç, C. (2017). A Survey on Exchange Rate Pass through in Emerging Markets. Bulletin of Economic Theory and Analysis, 2(3), 205-233. https://doi.org/10.25229/beta.334253

AMA

1.Tunç C. A Survey on Exchange Rate Pass through in Emerging Markets. beta. 2017;2(3):205-233. doi:10.25229/beta.334253

Chicago

Tunç, Cengiz. 2017. “A Survey on Exchange Rate Pass through in Emerging Markets”. Bulletin of Economic Theory and Analysis 2 (3): 205-33. https://doi.org/10.25229/beta.334253.

EndNote

Tunç C (01 Eylül 2017) A Survey on Exchange Rate Pass through in Emerging Markets. Bulletin of Economic Theory and Analysis 2 3 205–233.

IEEE

[1]C. Tunç, “A Survey on Exchange Rate Pass through in Emerging Markets”, beta, c. 2, sy 3, ss. 205–233, Eyl. 2017, doi: 10.25229/beta.334253.

ISNAD

Tunç, Cengiz. “A Survey on Exchange Rate Pass through in Emerging Markets”. Bulletin of Economic Theory and Analysis 2/3 (01 Eylül 2017): 205-233. https://doi.org/10.25229/beta.334253.

JAMA

1.Tunç C. A Survey on Exchange Rate Pass through in Emerging Markets. beta. 2017;2:205–233.

MLA

Tunç, Cengiz. “A Survey on Exchange Rate Pass through in Emerging Markets”. Bulletin of Economic Theory and Analysis, c. 2, sy 3, Eylül 2017, ss. 205-33, doi:10.25229/beta.334253.

Vancouver

1.Cengiz Tunç. A Survey on Exchange Rate Pass through in Emerging Markets. beta. 01 Eylül 2017;2(3):205-33. doi:10.25229/beta.334253

Cited By

Can credibility offset electricity price effect on business confidence? An empirical investigation from a large emerging economy

Applied Economics

https://doi.org/10.1080/00036846.2021.1975031

Invoicing currency, exchange rate pass‐through, and value‐added trade: The case of Turkey

International Journal of Finance & Economics

https://doi.org/10.1002/ijfe.2657

The role of announced exchange rate policies on exchange rate pass-through to consumer prices in an oil-based small open economy

SN Business & Economics

https://doi.org/10.1007/s43546-022-00391-3

Bu dergide yayımlanan eserler Creative Commons Atıf 4.0 Uluslararası Lisansı ile lisanslanmaktadır.

Gelişmekte olan Ülkelerde Döviz Kuru Geçişkenliği üzerine Bir Literatür Taraması

A Survey on Exchange Rate Pass through in Emerging Markets

Öz

Anahtar Kelimeler

Gelişmekte olan Ülkelerde Döviz Kuru Geçişkenliği üzerine Bir Literatür Taraması

Öz

Anahtar Kelimeler

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

IZ

Kaynak Göster

Cited By

Can credibility offset electricity price effect on business confidence? An empirical investigation from a large emerging economy

Invoicing currency, exchange rate pass‐through, and value‐added trade: The case of Turkey

The role of announced exchange rate policies on exchange rate pass-through to consumer prices in an oil-based small open economy

Tradable and non-tradable inflation in Turkey: asymmetric responses to global factors

Döviz Kuru Ve Enflasyon İlişkisi: Türkiye Örneği

Pass-through cambial no Brasil: pressão de custos em uma abordagem insumo-produto

Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models

Modeling structure of inflation in Türkiye: DCC-GARCH and Markov switching model