BRICS: How important is the exchange rate pass‐through?

Rebeca Jiménez‐Rodríguez and Amalia Morales‐Zumaquero
Authors registered in the RePEc Author Service: Rebeca Jiménez-Rodríguez

The World Economy, 2020, vol. 43, issue 3, 781-793

Abstract: This paper analyses the exchange rate pass‐through (ERPT) into domestic consumer prices in BRICS (Brazil, Russia, India, China and South Africa) countries from mid‐1990s onwards by using three different econometric approaches (i.e., the single equation approach, the VAR approach and the time‐varying parameter approach). It is also studied the role of macroeconomic determinants in ERPT. Our results suggest that (a) ERPT is higher for the emerging markets with mostly floating exchange rates (Brazil, Russia and South Africa) than for the other BRICS countries; (b) exchange rate explains, on average, around the 40% of the price variance for Brazil, Russia and South Africa; and (c) inflation volatility, exchange rate volatility and openness seem to be the key macroeconomic determinants in BRICS countries.

Date: 2020
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https://doi.org/10.1111/twec.12885

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