Exchange Rate Volatility and Pass-Through to Inflation in South Africa

Ken Miyajima

No 2019/277, IMF Working Papers from International Monetary Fund

Abstract: Does the South African rand’s relatively large volatility affect inflation? To shed some light on this question, a standard estimation technique of exchange rate pass-through to inflation is extended to incorporate exchange rate volatility. Estimated results suggest that higher exchange rate volatility tends to increase core inflation but to a relatively limited extent in South Africa. The finding lends support to the policy of allowing the rand to float freely and work as a shock absorber, consistent with the nation’s successful inflation targeting regime.

Keywords: WP; core inflation; exchange rate volatility; price; Exchange rate pass-through; inflation; NEER depreciation; food price inflation; rand volatility; ERPT terms; exchange rate variable; volatility data; fuel price inflation; Exchange rates; Depreciation; Output gap; Africa; Global (search for similar items in EconPapers)
Pages: 27
Date: 2019-12-13
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=48822 (application/pdf)

Related works:
Journal Article: Exchange rate volatility and pass‐through to inflation in South Africa (2020)
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:imf:imfwpa:2019/277

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().