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Exchange rate pass-through import prices: sectoral analysis

Duasa, Jarita and Ahmad, Nursilah (2011) Exchange rate pass-through import prices: sectoral analysis. In: India Macroeconomics Annual 2010. SAGE Publications Pvt. Ltd , Calcutta, India, pp. 101-122. ISBN 9788132106524

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This study examines the pass-through effects of exchange rate changes on the import prices in Malaysia by commodity sections at one digit level. In methodology, the study adopts vector error correction (VECM) model using monthly data of nominal exchange rates, money supply and prices of imports by section, covering the period of M1:1999 to M12:2006. For further analysis, we adopt an innovation accounting by simulating impulse response functions (IRF). Cumulative IRF is then used to calculate the exchange rate pass-through on import prices in each commodity. The findings indicate that, while the exchange rate shock is significantly affect the fluctuation of import prices of foods, beverages, crude materials inedible, chemicals and manufactured goods, the degree of pass-through is incomplete. The findings reflect that exchange rate pass-through is endogenous to Malaysian inflationary environment and monetary policy credibility.

Item Type: Book Chapter
Additional Information: 3479/4023
Uncontrolled Keywords: Import prices, VECM, cumulative impulse response, Malaysia
Subjects: H Social Sciences > HB Economic Theory > HB131 Methodology.Mathematical economics. Quantitative methods
H Social Sciences > HB Economic Theory > HB221 Price
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Prof. Dr. Jarita Duasa
Date Deposited: 19 Oct 2011 11:41
Last Modified: 24 May 2012 12:59
URI: http://irep.iium.edu.my/id/eprint/4023

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