Exchange Rate Pass-through after a Large Depreciation

Anatoli Colicev, Joris Hoste and Jozef Konings

No 201914, Working Papers from University of Liverpool, Department of Economics

Abstract: This paper uses monthly scanner consumer price data to study exchange rate pass-through (ERPT) after the Kazakh Tenge switch from a fixed to a floating exchange rate regime in August 2015. The depreciation of the Tenge was large (50%), triggered overnight and unanticipated. This exchange rate shock allows us to have a clear identification strategy. In particular, we model ERPT to consumer prices using Local Projections estimations, which is especially well-suited to capture price dynamics after large shocks. We find that prices respond fast, yet incomplete. After 12 months the ERPT into consumer prices is between 25% and 34%. We also find that ERPT depends on the type of product, i.e. whether it is foreign sourced and whether the product is an international brand.

Pages: 56 pages
Date: 2019-10
New Economics Papers: this item is included in nep-mon and nep-opm
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Citations: View citations in EconPapers (2)

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https://www.liverpool.ac.uk/media/livacuk/schoolof ... rge,Depreciation.pdf First version, 2019 (application/pdf)

Related works:
Working Paper: Exchange Rate Pass-through after a Large Depreciation (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:liv:livedp:201914

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