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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

Abstract: 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 – Monetary policy – Emerging Market – Disaggregated analysis JEL Classification: C32; E31; E42; E52; F31; F41; O55 (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:ers:ijebaa:v:iv:y:2016:i:4:p:50-63