Title: Exchange rate pass-through (ERPT) into domestic prices: Evidence from a nonlinear perspective
Abstract: This paper uses a Markov-switching intercept autoregressive heteroskedasticity model to examine inflation dynamics and the exchange rate pass-through (ERPT) in Malaysia. Two different regimes are identified in the sample period (1990:Q1–2015:Q4). The results confirm a partial ERPT to domestic consumer prices, but the effect of exchange rates on domestic prices is asymmetry. The incomplete ERPT to the consumer price index is consistent with findings in earlier studies. We also confirm a positive but time-varying impact of terms of trade shocks on inflation.
Publication Year: 2017
Publication Date: 2017-05-25
Language: en
Type: article
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Cited By Count: 2
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