Abstract
This book aims to enhance the understanding of the dynamics of exchange rate pass-through in South Africa. We therefore provide empirical evidence as invaluable insights into the search for appropriate policy responses. This is needed to understand the effects of exchange rate volatility, to reduce inflation and facilitate macroeconomic stability.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Akofio-Sowah, N. A. (2009). Is there a link between exchange rate pass-through and the monetary regime: Evidence from sub Saharan Africa and Latin America. International Advanced Economic Research, 15, 296–309.
Aleem, A., & Lahiani, A. (2014a). Monetary policy credibility and exchange rate pass-through: Some evidence from emerging countries. Economic Modelling, 43, 21–29.
Aleem, A., & Lahiani, A. (2014b). A threshold vector autoregression model of exchange rate pass-through in Mexico. Research in International Business and Finance, 30, 24–33.
An, L. (2006, October). Exchange rate pass-through: Evidence based on vector autoregression with sign restrictions Munich Personal RePEc Archive.
Aron, J., Farrell, G., Muellbauer, J., & Sinclair, P. (2014). Exchange rate pass-through to import prices, and monetary policy in South Africa. Journal of Development Studies, 50(1), 144–164.
Baharumshah, A. Z., Sirag, A., & Nor, N. H. (2017). Asymmetric exchange rate pass-through in Sudan: Does inflation react differently during periods of currency depreciation. African Development Review, 29(3), 446–457.
Baharumshah, A. Z., Sirag, A., & Soon, S. V. (2017). Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico. Research in International Business and Finance, 41, 247–259.
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.
Beirne, J., & Bijsterbosch, M. (2011). Exchange rate pass-through in central and Eastern European EU member states. Journal of Policy Modeling, 33, 241–254.
Benigno, P., & Faia, E. (2016). Globalization, pass-through and inflation dynamics. International Journal of Central Banking, 12(4), 263–306.
Betts, C., & Devereux, M. B. (2000). Exchange rate dynamics in a model of pricing to market. Journal of International Economics, 50(1), 215–244.
Bitans, M. (2004). Pass-through of exchange rates to domestic prices in East European countries and the role of economic environment (Bank of Latvia Working Paper No. 4).
Brun-Aguerre, R., Fuertes, A. M., & Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it? Journal of international Money and Finance, 31(4), 818–844.
Bussière, M., Delle Chiaie, S., & Peltonen, T. A. (2014). Exchange rate pass-through in the global economy: The role of emerging market economies. IMF Economic Review, 62(1), 146–178.
Campa, J. M., & Goldberg, L. S. (2005). Exchange rate pass-through into import prices. The Review of Economics and Statistics, 87(4), 679–690.
Caselli, F. G., & Roitman, A. (2016). Non-linear exchange rate pass-though in emerging markets (IMF Working Paper No. 16/1).
CaZorzi, M., et al. (2007). Exchange rate pass-through in emerging markets (European Central Bank Working Paper No. 739).
Choudhri, E. U., & Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does domestics inflation environment matter? Journal of International Money and Finance, 25(4), 614–639.
Coricelli, F., Jazbec, B., & Masten, I. (2006). Exchange rate pass-through in acceding countries: Empirical analysis and policy implications. Journal of Banking and Finance, 30(5), 1375–1391.
Coulibaly, D., & Kempf, H. (2010). Does inflation targeting decrease exchange rate pass-through in emerging countries? (Documents de Travail, No. 303). Paris: Banque de France.
Daniels, J. P., & Vanhoose, D. D. (2013). Exchange rate pass-through, openness and the sacrifice ratio. Journal of International Money and Finance, 36(C), 131–150.
De Souza, R. M., Maciel, L. F. P., & Pizzinga, A. (2013). State space models for the exchange rate pass-through: Determinants and null full pass-through hypotheses. Applied Economics, 45(36), 5062–5075.
Delatte, A. L., & López-Villavicencio, A. (2012). Asymmetric exchange rate pass-through: Evidence from major countries. Journal of Macroeconomics, 34, 833–844.
Devereux, M. B., & Engel, C. (2002). Exchange rate pass-through, exchange rate volatility and exchange disconnect. Journal of Monetary Economics, 49, 913–940.
Devereux, M. B., & Yetman, J. (2002). Exchange rate pass-through, exchange rate volatility and exchange rate disconnect. Carniege-Rochester Conference.
Devereux, M. B., Lane, P. R., & Xu, J. (2006). Exchange rate and monetary policy in emerging market economies. The Economic Journal, 116, 478–506.
Deveruex, M. B., Engel, C., & Storgaard, P. E. (2003). Endogenous exchange rate pass-through when nominal prices are set in advance. Journal of International Economics, 63, 263–291.
Fatai, M. O., & Akinbobola, T. O. (2015). Exchange rate pass-through to import prices, inflation and monetary policy in Nigeria. International Finance and Banking, 2(1), 60–78.
Frankel, J., Parsley, D., & Wei, S. J. (2005). Slow pass through around the world: A new import for developing countries? (NBER Working Paper No. 11199).
Frankel, J., Parsley, D., & Wei, S. J. (2012). Slow pass-through around the world: a new import for developing countries? Open Economies Review, 23(2), 213-251.
Froot, K., & Klemperer, P. (1989). Exchange rate pass-through when markets shares matters. American Economic Review, 79(4), 637–654.
Gagnon, J. E., & Ihrig, J. (2004). Monetary policy and exchange rate pass-through. International Journal of Finance and Economics, 9, 315–338.
Ghosh, A., & Rajan, R. S. (2009). What is the extent of the exchange rate pass-through in Singapore? Has it changed over time? Journal of the Asia Pacific Economy, 14(1), 61–72.
Goldfajn, I., & Werlang, S. (2000a). The pass-through from depreciation to inflation: A panel study (Working Paper No. 423). Department of Economics, PUC-Rio.
Goldfajn, I., & Werlang, S. (2000b). The pass-through from depreciation to inflation: A panel study (Working Papers No. 5). Research Department, Central Bank of Brazil.
Gust, C., Leduc, S., & Vigfusson, R. (2010). Trade integration, competition, and the decline in exchange-rate pass-through. Journal of Monetary Economics, 57(3), 309–324.
Ho, C., & McCauley, R. (2003). Living with flexible exchange rates: Issues and recent experiences in inflation targeting emerging market economies (BIS Working Paper No. 130).
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, 1407–1438.
Jasova, M., Moessner, R., & Takats, E. (2016). Exchange rate pass-through: What has changed since the crisis? (BIS Working Papers No. 583).
Jiang, J., & Kim, D. (2013). Exchange rate pass-through to inflation in China. Economic Modelling, 33, 900–912.
Junttila, J., & Korhonen, M. (2012). The role of inflation regime in the exchange rate pass-through to import prices. International Review of Economics and Finance, 24, 88–96.
Kabundi, A., & Mlachila, M. (2018). The role of monetary policy credibility in explaining the decline in exchange rate pass-through in South Africa, Economic Modelling (forthcoming).
Karoro, T. D., Aziakpono, M. J., & Cattaneo, N. (2009). Exchange rate pass-through to import prices in South Africa: Is there asymmetry? South African Journal of Economics, 773, 380–398.
Korhonen, I., & Wachtel, P. (2005). A note on exchange rate pass-through in CIS countries. Research in International Business and Finance, 20, 215–226.
Krugman, P. (1989). The delinking of exchange rate from reality. In Exchange rate instability (Chapter 2). Cambridge: MIT Press.
Lopez-Villavicencio, A., & Mignon, V. (2017). On the seemingly incompleteness of exchange rate pass-through to import prices: Do globalization and/or regional trade matter (CEPII Working Paper).
MarÃa-Dolores, R. (2009). Exchange rate pass-through in the Asian countries: Does inflation volatility matter? Applied Economics Letters, 25(5), 309–312.
Masha, I., & Park, M. C. (2012). Exchange rate pass through to prices in Maldives (IMF Working Paper No. WP/12/126).
Mihaljek, D., & Klau, M. (2001, November). A note on the pass-through from exchange rate and foreign price changes to inflation in selected emerging market economies (BIS Working Papers No. 8).
Mihaljek, D., & Klau, M. (2008). Exchange rate pass-through in emerging market economies: What has changed and why? (BIS Working Paper No. 35).
Monacelli, T. (2005). Monetary policy in low pass-through environment. Journal of Money, Credit and Banking, 37(6), 1047–1066.
Ndou, E., & Gumata, N. (2017). Inflation dynamics in South Africa: The role of thresholds, exchange rate pass-through and inflation expectations on policy trade-offs. Cham: Palgrave Macmillan.
Ndou, E., Gumata, N., & Ncube, M. (2018). Global economic uncertainties and exchange rate shocks: Transmission channels to the South African economy. Cham: Palgrave Macmillan.
Nell, K. S. (2004). The structuralist theory of imported inflation: An application to South Africa. Applied Economics, 36(13), 1431–1444.
Nogueira, R. P., Jr., & León-Ledesma, M. A. (2011). Does exchange rate pass-through respond to measures of macroeconomic instability? Journal of Applied Economics, XIV(1), 167–180.
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.
Rangasamy, I., & Farrell, G. N. (2002). Exchange rate pass-through and South African import prices (Unpublished Report for the South African Reserve Bank Working Paper No. WP/02/03).
Razafimahefa, I. F. (2012). Exchange rate pass-through in sub-Saharan African economies and its determinants (IMF Working Paper No. WP/12/141).
Rincon-Castro, H., & Rodriguez-Nin, N. (2018). Nonlinear state and shock dependence of exchange rate pass-through on prices (BIS Working Papers No. 690).
Rogoff, K. (2006, August 28–30). Globalisation and global disinflation. Jackson Hole Sympossium.
Romer, D. (1993). Openness and inflation: Theory and evidence. The Quarterly Journal of Economics, 108(4), 869–903.
Sbordone, A. M. (2008). Globalisation and inflation dynamics: The impact of increased competition (Federal Reserve Bank of New York Staff Papers No. 324).
Shintani, M., Terada-Hagiwara, A., & Yabu, T. (2013). Exchange rate pass-through and inflation: A nonlinear time series analysis. Journal of International Money and Finance, 32, 512–527.
Soon, S., Baharumshah, A. Z., & Wohar, M. E. (2018). Exchange rate pass-through in the Asian countries: Does inflation volatility matter. Applied Economics Letters, 25(5), 309–312.
Steel, D., & King, A. (2004). Exchange rate pass-through: The role of regimes changes. International Review of Applied Economics, 18(3), 301–322.
Taylor, J. B. (2000). Low inflation, pass-through and the pricing power of firms. European Economic Reviews, 44(7), 1389–1408.
Zorzi, M. C., & Hahn, E. (2007). Exchange rate pass-through in emerging markets (European Central Bank Working Paper Series No. 739).
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2019 The Author(s)
About this chapter
Cite this chapter
Ndou, E., Gumata, N., Tshuma, M.M. (2019). Policy Implications of ERPT and Ongoing Debates. In: Exchange Rate, Second Round Effects and Inflation Processes. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-030-13932-2_2
Download citation
DOI: https://doi.org/10.1007/978-3-030-13932-2_2
Published:
Publisher Name: Palgrave Macmillan, Cham
Print ISBN: 978-3-030-13931-5
Online ISBN: 978-3-030-13932-2
eBook Packages: Economics and FinanceEconomics and Finance (R0)