Exchange Rate Pass-through (ERPT) into Domestic Prices: Evidence from a Nonlinear Perspective
Siew-Voon Soon () and
Ahmad Zubaidi Baharumshah ()
Economics Bulletin, 2017, vol. 37, issue 2, 1160-1167
This paper uses a Markov-switching intercept autoregressive heteroskedasticity model to examine inflation dynamics and the exchange rate pass-through (ERPT) in Malaysia. Two different regimes are identified in the sample period (1990:Q1â€“2015:Q4). The results confirm a partial ERPT to domestic consumer prices, but the effect of exchange rates on domestic prices is asymmetry. The incomplete ERPT to the consumer price index is consistent with findings in earlier studies. We also confirm a positive but time-varying impact of terms of trade shocks on inflation.
Keywords: endogenous multiple breaks; exchange rate; inflation (search for similar items in EconPapers)
JEL-codes: E3 F3 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-15-00520
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().