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Exchange rate passthrough to domestic prices in some MENA countries

Sarra Smaili () and Mohamed Ben Aissa ()
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Sarra Smaili: LAREQUAD & FSEGT, University of Tunis El Manar, Tunisia

Economics Bulletin, 2018, vol. 38, issue 2, 1028-1037

Abstract: This paper examines the degree of exchange rate pass-through (ERPT) to domestic prices for five MENA countries. Using a cointegrated VAR (vector autoregression) for each country, the ERPT into consumer prices is found to be small in the long run in our sub sample. By analyzing impulse responses derived from the VECM (vector error correction model), we found that the ERPT degree decreases across the different price indices: the pass-through effect is the largest for import prices index, the second for producer prices index and the smallest on consumer prices index.

Keywords: exchange rate pass-through; domestic prices; cointegrated VAR (search for similar items in EconPapers)
JEL-codes: E3 E5 (search for similar items in EconPapers)
Date: 2018-05-12
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