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Exchange rate pass-through in the Asian countries: does inflation volatility matter?

Siew-Voon Soon, Ahmad Zubaidi Baharumshah () and Mark Wohar ()

Applied Economics Letters, 2018, vol. 25, issue 5, 309-312

Abstract: This paper presents a nonlinear relationship between exchange rate pass-through (ERPT) and inflation volatility. Through the lens of a threshold framework, we uncover a clear evidence of near to one ERPT to consumer prices once inflation volatility crosses a threshold level of 4.17. Clearly, there are significant differences in the degree of ERPT between the high and low inflation volatility in the inflation targeting (IT) and non-IT Asian countries.

Date: 2018
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Handle: RePEc:taf:apeclt:v:25:y:2018:i:5:p:309-312