Suchergebnisse

This paper seeks to estimate exchange rate pass-through in China and
investigate its relationship with monetary policy. Linear and VAR models are
applied to analyze robustness. The linear model shows that, over the long
run, a 1% appreciation of NEER causes a decline in the CPI inflation rate of
0.132% and PPI inflation rate of 0.495%. The VAR model supports the results
of the linear model, suggesting a fairly low CPI pass-through and relatively
higher PPI pass-through. Furthermore, this paper finds that, with the fixed
exchange rate regime, CPI pass-through remains higher. The exchange rate
regimes influence on CPI pass through, combined with the fact that
appreciation diminishes inflation, suggests that the Chinese government could
pursue a more flexible exchange rate policy. In addition, reasons for low
exchange rate pass-through for CPI are analyzed. The analysis considers price
control, basket and weight of Chinese price indices, distribution cost, and
imported and non-tradable share of inputs.

Abstract.  We use a detailed database to investigate exchange‐rate pass‐through at the product level for a large number of countries. The empirical analysis suggests that pricing behaviours are dichotomous, with complete pass‐through in around 25% of sectors and significant pricing‐to‐market in the remaining ones. Average long‐run pass‐through coefficient is close to 80%; this result hides a strong heterogeneity of pass‐through behaviours across sectors. Even when composition effects are controlled for, average pass‐through varies across importing countries. The econometric analysis shows that pass‐through tends to be higher in volatile environments; in less developed countries; in weakly integrated markets.

Advancements in transportation and technology coupled with the liberalization of the trade policies across nations have led to significant growth in the volume of trade worldwide in the last several decades. Exchange rate fluctuations, which directly affect the prices of goods traded between countries, are important for the exporting and importing countries. The exchange rate pass through, which is the main focus of this study, shows how import and export goods' prices change due to exchange rate fluctuations. The collapse of the Bretton Wood, increase in the share of the developing economies trade globally, have made the topic of exchange rate pass through to become more important in the globalized world. This research is conducted in a very small economy, Turkish Republic of North Cyprus (TRNC), who has limited trade and financial integration with the world. The thesis analyses and determines the degree of pass through in TRNC using VAR method. In this respect, monthly inflation rate, electricity price changes, and exchange rate changes from January 2000 to September 2019 was used. The study attempts to measure the impact of foreign exchange rate (Euro) changes on consumer price index (CPI) in TRNC. The result of the research finds that changes in exchange rates have significant pass through effect on the consumer price index and the ERPT effect disappears only by the fifth month. The accumulated ERPT effect on CPI was estimated to be around 35% by the fifth month. The research also found that electricity price changes affect the CPI significantly. ; ÖZ: Ulaştırma ve teknolojideki gelişmeler, uluslararası ticaret politikalarının serbestleştirilmesi ile birleştiğinde, son birkaç on yılda dünya çapında ticaret hacminde önemli bir büyümeye yol açmıştır. Ülkeler arasında işlem gören malların fiyatlarını doğrudan etkileyen döviz kuru dalgalanmaları, ihracat ve ithalat yapan ülkeler için önemlidir. Bu çalışmanın ana odak noktası olan döviz kuru geçirgenliği, döviz kuru dalgalanmaları nedeniyle ithalat ve ihracat mallarının fiyatlarının nasıl değiştiğini göstermektedir. Bretton Wood sisteminin çöküşü ve küresel ticarette gelişmekte olan ekonomilerin payının artışı döviz oranı geçiş etkisi konusunun globalleşmiş dünyada daha önemli hale gelmesini sağlamıştır. Bu araştırma, dünya ile sınırlı ticaret ve finansal entegrasyona sahip olan Kuzey Kıbrıs Türk Cumhuriyeti (KKTC) gibi küçük bir ekonomi üzerinde yapılacaktır. Tez, VAR yöntemi ile KKTC'de döviz kuru geçiş derecesini analiz edecek ve belirleyecektir. Bu bağlamda, Ocak 2000'den Eylül 2019'a kadar gerçekleşen aylık enflasyon oranı, döviz kurundaki değişimler ve elektrik fiyatı değişiklikleri olarak kullanılmıştır. Bu çalışma, döviz değişiminin KKTC tüketici fiyat endeksi (TÜFE) üzerindeki etkisini ölçmeye çalışacaktır. Çalışmada döviz kuru değişikliklerinin TÜFE üzerinde önemli bir etkiye sahip olduğu ve kurun fiyat geçirgenlik etkisinin beşinci aya kadar devam ettiği tespit edilmiştir. Birikmiş geçiş etkisinin beşinci ayda toplam civarında olduğu saptanmıştır. Ayrıca, elektrik fiyat değişikliklerinin TÜFE'yi önemli ölçüde etkilediği de gözlemlenmiştir. ; Master of Science in Banking and Finance. Thesis (M.S.)--Eastern Mediterranean University, Faculty of Business and Economics, Dept. of Banking and Finance, 2020. Supervisor: Prof. Dr. Mustafa Besim.

This paper analyses the implications of imperfect exchange rate passthrough for optimal monetary policy in a linearised open-economy dynamic general equilibrium model calibrated to euro area data. Imperfect exchange rate pass through is modelled by assuming sticky import price behaviour. The degree of domestic and import price stickiness is estimated by reproducing the empirical identified impulse response of a monetary policy and exchange rate shock conditional on the response of output, net trade and the exchange rate. It is shown that a central bank that wants to minimise the resource costs of staggered price setting will aim at minimising a weighted average of domestic and import price inflation.

This paper studies a particular aspect of the choice of exchange rate regime by EU candidate countries in the run-up to membership of European Economic and Monetary Union (EMU). The fact that these countries have adopted various exchange rate systems reflects a divergence of opinion on the appropriate way to handle macroeconomics and, in particular, to curb inflation. This paper studies the connection between changes in the exchange rate and inflation as perceived in various exchange rate systems in order to draw conclusions with regard to the possible role of exchange rate management in achieving and maintaining low inflation in these countries. To this end we model price and exchange rate changes simultaneously and incorporate adjustment towards the equilibrium real exchange rate. We use a state-space model and the Kalman filter to infer unobserved variables and time-varying parameters. ; Dieses Papier untersucht einen besonderen Aspekt bei der Wahl eines Wechselkursregimes von EU Beitrittskandidaten auf dem Weg zu einer Mitgliedschaft in der Europäischen Wirtschafts- und Währungsunion. Die Tatsache, dass diese Länder verschiedene Wechselkursregime gewählt haben, deutet auf divergierende Ansichten darüber hin, wie die Wirtschaftspolitik geführt werden soll und insbesondere, wie die Inflation gesenkt werden soll. In diesem Aufsatz werden die Beziehungen zwischen Änderungen in den Wechselkursen und den Preisen in verschiedenen Wechselkursregimen untersucht. Dabei soll herausgefunden werden, welche Rolle Wechselkurse spielen, wenn es darum geht, niedrige Preissteigerungsraten zu realisieren und diese dann auch beizubehalten. Preis- und Wechselkursänderungen werden simultan modelliert unter gleichzeitiger Berücksichtigung der Anpassung an einen Gleichgewichtwechselkurs. Raum-Zustands-Modelle und Kalmanfilter werden verwendet, um auf unbeobachtete Variablen und zeitvariable Parameter schließen zu können.

Justin Ho of Marketplace discussed the implications of the import/export price release Thursday. My view was that pass through into import prices was low in the short run, and even in the long run was not very large, while pass through into the broader price index was unlikely to be large. Not sure I was […]