지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2013.1
- 수록면
- 1 - 33 (33page)
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The study investigates the extent and degree of exchange rate pass through to prices at different distribution levels, namely from import prices, to producer prices up to consumer prices, for the small island economy of Mauritius which is highly dependent on external markets. Using quarterly data from 1999 to 2010 and a Structural Vector Autoregressive (SVAR) model, we also focus on the existence and degree of causality between exchange rate and domestic prices. Third, the impulse response functions are used to calculate exchange rate pass through elasticity. Lastly, forecast error variance decomposition is equally obtained from the SVAR to assess the importance of externals shocks in explaining fluctuations in import and domestic prices. Unlike previous studies, we find evidence that exchange rate pass through to consumer prices is the highest; followed by producer prices while exchange rate pass through to import prices is the lowest. Our findings also reveal the existence of bidirectional causality only for the case of the nominal effective exchange rate and producer prices. Further, the variance decomposition results indicate that the variance of import and producer prices is explained mainly by oil price shocks while the variance of consumer prices is largely accounted for by import price shocks.
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참고문헌 (25)
참고문헌 신청
An, L. / 2006 / Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions : 527 ~
Belaisch, A. / 2003 / Exchange rate pass-through in Brazil
Bhundia, A. / 2002 / An Empirical Investigation of Exchange Rate Pass- Through in South Africa
Campa, M.J. / 2005 / Exchange rate pass-through to import prices in the Euro area
Choudhri, E.U. / 2001 / Exchange Rate Pass through to Domestic Prices: Does the inationary environment Matter?
Belaisch, A. / 2003 / Exchange rate pass-through in Brazil
Bhundia, A. / 2002 / An Empirical Investigation of Exchange Rate Pass- Through in South Africa
Campa, M.J. / 2005 / Exchange rate pass-through to import prices in the Euro area
Choudhri, E.U. / 2001 / Exchange Rate Pass through to Domestic Prices: Does the inationary environment Matter?
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