Exchange rate pass-through import prices: sectoral analysis

Exchange rate pass-through import prices: sectoral analysis

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 s...

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Main Authors: Duasa, Jarita, Ahmad, Nursilah
Format: Book Chapter
Language:English
Published: SAGE Publications Pvt. Ltd 2011
Subjects:
HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
Online Access:http://irep.iium.edu.my/4023/
http://irep.iium.edu.my/4023/
http://irep.iium.edu.my/4023/1/Duasa_revised_IMA_Feb2011.pdf
id iium-4023
recordtype eprints
spelling iium-40232012-05-24T04:59:42Z http://irep.iium.edu.my/4023/ Exchange rate pass-through import prices: sectoral analysis Duasa, Jarita Ahmad, Nursilah HB131 Methodology.Mathematical economics. Quantitative methods HB221 Price 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. SAGE Publications Pvt. Ltd 2011-06 Book Chapter PeerReviewed application/pdf en http://irep.iium.edu.my/4023/1/Duasa_revised_IMA_Feb2011.pdf 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 http://www.sagepub.com/books/Book237332/toc#tabview=toc
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
spellingShingle HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
Duasa, Jarita
Ahmad, Nursilah
Exchange rate pass-through import prices: sectoral analysis
description 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.
format Book Chapter
author Duasa, Jarita
Ahmad, Nursilah
author_facet Duasa, Jarita
Ahmad, Nursilah
author_sort Duasa, Jarita
title Exchange rate pass-through import prices: sectoral analysis
title_short Exchange rate pass-through import prices: sectoral analysis
title_full Exchange rate pass-through import prices: sectoral analysis
title_fullStr Exchange rate pass-through import prices: sectoral analysis
title_full_unstemmed Exchange rate pass-through import prices: sectoral analysis
title_sort exchange rate pass-through import prices: sectoral analysis
publisher SAGE Publications Pvt. Ltd
publishDate 2011
url http://irep.iium.edu.my/4023/
http://irep.iium.edu.my/4023/
http://irep.iium.edu.my/4023/1/Duasa_revised_IMA_Feb2011.pdf
first_indexed 2023-09-18T20:12:04Z
last_indexed 2023-09-18T20:12:04Z
_version_ 1777407544156749824

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