 Macroeconomics Determinants of Exchange Rate Pass-Through: New Evidence from the Asia-Pacific RegionNguyen Van Phuc and Vo Hong Duc Emerging Markets Finance and Trade, 2021, vol. 57, issue 1, 5-20 Abstract: Some recent studies observe an increasing degree of exchange rate pass-through (ERPT) to domestic prices, which has raised questions about the nature of the incompleteness and decline in pass-through. This article reexamines the degree of ERPT to the import, producer, and consumer price indices in Australia, New Zealand, Japan, and Korea in the Asia-Pacific region using up-to-date data, with several important findings. First, we reveal that ERPT to domestic prices follows the distribution chain, in that exchange rate movements alter import prices in the first stage and then producer and consumer prices in the second stage. Second, we offer valid evidence of an increase in ERPT to import prices after the global financial crisis in Japan, Korea, and New Zealand and of a relatively stable ERPT in Australia. Third, the changes in ERPT elasticities are most affected by macroeconomic determinants such as inflation volatility, interest rates, and trade openness, but this varies considerably across the surveyed countries and the three price indices. All our findings make a significant contribution to the empirical literature on ERPT and have policy implications. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:57:y:2021:i:1:p:5-20 Ordering information: This journal article can be ordered from DOI: 10.1080/1540496X.2018.1534682 Access Statistics for this article More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals |
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