Exchange Rate Pass-through in Armenia

Stella Mnoyan ()
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Stella Mnoyan: Monetary Policy Department, Central Bank of Armenia

No 13, Working Papers from Central Bank of Armenia

Abstract: In this paper, we develop a semi-structural macroeconomic model to estimate the Exchange Rate Pass-through in Armenia using Bayesian estimation. The pass-through both to import prices and core inflation is somewhat lower than the average results for comparable emerging economies reported in the literature. As we calculate time-varying pass-through rates we also explore critical factors causing shifts over time. The macroeconomic view of exchange rate pass-through incompleteness, especially the monetary policy credibility factor, plays a significant role.

Keywords: Purchasing Power; Taylor Rule; Risk Premia; Exchange Rates; Exchange Rate Pass-through; Output Inflation; Bayesian Analysis; Econometric Modeling; Simulation (search for similar items in EconPapers)
JEL-codes: C11 E31 E37 F31 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2019-10, Revised 2019-12
New Economics Papers: this item is included in nep-cba, nep-cis, nep-mac, nep-mon, nep-opm and nep-tra
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Published in CBA Working Paper Series, October 2019
Published in CBA Working Paper Series, December 2019, pages 22-54

Downloads: (external link)
https://www.cba.am/EN/panalyticalmaterialsresearches/Analytical_31.10.2019.pdf First version, 2019 (application/pdf)
http://www.aea.am/files/papers/a2019_2.pdf Revised version, 2019 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ara:wpaper:013

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