Revisiting the role of inflation environment in exchange rate pass-through: A panel threshold approach

Nidhaleddine Ben Cheikh () and Waël Louhichi

Economic Modelling, 2016, vol. 52, issue PA, 233-238

Abstract: This paper sheds new light on the role of inflation regimes in explaining the extent of exchange rate pass-through (ERPT) into import prices. In order to classify the 24 developing countries included in his study, Barhoumi (2006) chose an arbitrary threshold of 10% to split the sample between high and low inflation regimes. For more accuracy, our study uses a panel threshold framework where a grid search is used to select the appropriate threshold value. In a larger panel-data set including 63 countries over the 1992–2012 period, we find that there are two threshold points identified by the data, allowing us to split our sample into three inflation regimes. When estimating the ERPT for each group of countries, we point out a strong regime-dependence of pass-through to inflation environment, that is, the class of countries with higher inflation rates experiences the higher degree of ERPT.

Keywords: Exchange rate pass-through; Import prices; Panel threshold (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999314004246
Full text for ScienceDirect subscribers only

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:eee:ecmode:v:52:y:2016:i:pa:p:233-238

DOI: 10.1016/j.econmod.2014.11.004

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().