EconPapers    
Economics at your fingertips  
 

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

Mehmet Balcilar (), David Roubaud (), Ojonugwa Usman () and Mark Wohar ()

The World Economy, 2021, vol. 44, issue 1, 188-233

Abstract: This paper investigates not only the question of whether there is exchange rate pass‐through (ERPT) but also the extent to which the pass‐through is asymmetric or state‐dependent in the BRICS countries. Using monthly data from 1999:M1 to 2019:M12 and non‐linear smooth transition vector autoregressive (STVAR) model, our results provide evidence of period‐specific ERPT between the upper and lower regime periods, governed by the selected transition variables. The results further suggest that the pass‐through of exchange rate is higher when the economy is experiencing large appreciations and expansions as well as large depreciations and recessions. Theimplication for these findings is that ERPT is strongly affected by the state of the economy.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/twec.12990

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:worlde:v:44:y:2021:i:1:p:188-233

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0378-5920

Access Statistics for this article

The World Economy is currently edited by David Greenaway

More articles in The World Economy from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2022-08-14
Handle: RePEc:bla:worlde:v:44:y:2021:i:1:p:188-233