Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine

Oleksandr Faryna

Visnyk of the National Bank of Ukraine, 2016, issue 236, 30-42

Abstract: This paper aims to estimate the degree of exchange rate pass-through (ERPT) to domestic prices in Ukraine considering nonlinearities with respect to the size and direction of exchange rate movements. We use disaggregated consumer price data and employ a panel autoregressive distributed lag model (ARDL) including threshold parameters to account for nonlinearities in the ERPT mechanism. We then compute dynamic ERPT coefficients taking into account inflation and exchange rate persistence. Estimation results suggest that the pass-through effect to core consumer prices is higher from currency depreciation than in the case of appreciation. On the contrary, we find that raw food prices are much more sensitive to appreciations. We also find that price responsiveness to small, medium, and large exchange rate changes is nonlinear. In particular, we provide evidence that prices are sensitive to small and extremely large changes, but the pass-through effect is insignificant if exchange rate movements are moderate.

Keywords: Exchange rate pass-through; inflation; Ukraine; nonlinear ERPT; Autoregressive Distributed Lag Model (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 F31 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
https://journal.bank.gov.ua/en/article/2016/236/03 (text/html)

Related works:
Working Paper: Nonlinear Exchange Rate Pass-Through to Domestic Prices in Ukraine (2016)
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:ukb:journl:y:2016:i:236:p:30-42

DOI: 10.26531/vnbu2016.236.030

Access Statistics for this article

More articles in Visnyk of the National Bank of Ukraine from National Bank of Ukraine Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().