Volume 9, Issue 1, November 2014, Pages 317–324
Olfa Manai Daboussi1 and Necibi Thameur2
1 Department of Quantitative Methods and Economies, Higher Institute of Management of Tunis-University of Tunis, Tunisia
2 Department of Quantitative Methods and Economies, Higher School of Digital Economy, University of Manouba, Tunisia
Original language: English
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
This paper examines the degree of Exchange Rate Pass-Through (ERPT) to prices in 6 emerging markets that adopt inflation targeting (IT) framework in Latin America and Asia. To achieve this, we employ a modeling strategy that examines the short-run and the long-run fluctuations of the exchange rates pass-through into prices over the period from 1990:Q1-2012:Q4. The paper also finds robust evidence for a positive relationship between the degree of the ERPT and inflation. We conducted a comparative study between countries with hyperinflation and countries with moderate inflation. Estimations results confirm the presence of a positive link between prices and ERPT in emerging markets adopting inflation targeting strategy, while plausible theoretically, finds only weak empirical support in the absence of implemented of inflation targeting regime. The results show that ERPT has declined after IT framework.
Author Keywords: Exchange rate pass-through, Inflation targeting, Emerging Markets.
Olfa Manai Daboussi1 and Necibi Thameur2
1 Department of Quantitative Methods and Economies, Higher Institute of Management of Tunis-University of Tunis, Tunisia
2 Department of Quantitative Methods and Economies, Higher School of Digital Economy, University of Manouba, Tunisia
Original language: English
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
This paper examines the degree of Exchange Rate Pass-Through (ERPT) to prices in 6 emerging markets that adopt inflation targeting (IT) framework in Latin America and Asia. To achieve this, we employ a modeling strategy that examines the short-run and the long-run fluctuations of the exchange rates pass-through into prices over the period from 1990:Q1-2012:Q4. The paper also finds robust evidence for a positive relationship between the degree of the ERPT and inflation. We conducted a comparative study between countries with hyperinflation and countries with moderate inflation. Estimations results confirm the presence of a positive link between prices and ERPT in emerging markets adopting inflation targeting strategy, while plausible theoretically, finds only weak empirical support in the absence of implemented of inflation targeting regime. The results show that ERPT has declined after IT framework.
Author Keywords: Exchange rate pass-through, Inflation targeting, Emerging Markets.
How to Cite this Article
Olfa Manai Daboussi and Necibi Thameur, “Inflation Targeting and Exchange Rate Pass-Through: A Comparative Study in Emerging Markets,” International Journal of Innovation and Applied Studies, vol. 9, no. 1, pp. 317–324, November 2014.
