A Survey on Exchange Rate Pass through in Emerging Markets

Yıl 2017, , 205 - 233, 30.09.2017

Cengiz Tunç

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

Cited By: 7

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

Gelişmekte olan Ülkelerde Döviz Kuru Geçişkenliği üzerine Bir Literatür Taraması

Öz

Bu çalışma gelişmekte olan ülkelerde döviz kuru geçişkenliğini son dönemde artan ampirik çalışmaları dikkate alarak incelemektedir. Mevcut literatür, son dönemde birçok ülkede enflasyon hedeflemesinin benimsenmesi sonucu ortaya çıkan düşük enflasyon ortamında döviz kuru geçişkenliğinin azaldığı konusunda mutabıktır. Bununla beraber, ampirik çalışmalar döviz kurundaki değişikliklerin yönü ve büyüklüğü nedeniyle kur geçişkenliğinin değişik düzeylerde gerçekleştiğini ortaya koymuştur. Son olarak, alt bölümlere ayrılmış fiyat endeklerinde kur geçişkenliği konusu ile döviz kuru gelişmelerinin değişik sebeplerinden kaynaklı farklı kur geçişkenlikleri konusu önümüzdeki dönemde gelecek vaad eden araştırma alanları olarak ortaya çıkmaktadır.

Anahtar Kelimeler

Döviz Kuru Geçişkenliği, Gelişmekte olan Ülkeler

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