Exchange Rate Pass-through and Monetary Policy in Transition Economy: Evidence from Tunisia with a Disaggregated VAR Analysis*
Ahlem Dahem1 and
Fatma Siala Guermazi
International Journal of Economics & Business Administration (IJEBA), 2016, vol. IV, issue 4, 50-63
Relying on monthly and quarterly data, from 2000 to 2015, this paper keeps up with SVAR modeling and price chain study, through a disaggregate approach that aims at analyzing the exchange rate pass-through (ERPT) on the various components of consumer price index (CPI). To our knowledge, this study is the first attempt at ERPT estimation through a disaggregate approach for the CPI. The results show that the total ERPT is about 20%. Specifically, 10% of PT on the administered prices after 2011 revolution date (6% of PT for food administered prices and 7% of PT for energy prices), which contradicts the prevailing theory that admits the inexistence of PT for administered prices. Our findings confirm the importance of a disaggregate analysis for studying ERPT to contain inflation.
Keywords: Exchange Rate Pass-through â€“ Monetary policy â€“ Emerging Market â€“ Disaggregated analysis JEL Classification: C32; E31; E42; E52; F31; F41; O55 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ers:ijebaa:v:iv:y:2016:i:4:p:50-63
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