Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time-varying pass-through coefficients
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Dosyalar
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Wiley
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper estimates the exchange rate and oil price pass-through to South African domestic prices (ERPT and OPPT, respectively). This study adopts a novel approach to compute pass-through coefficients along the pricing channel using the time-varying responses of the time-varying parameter (TVP)-VAR model. Our findings show that both ERPT and OPPT are incomplete, despite varying responses to local and global economic events that cause fluctuations in the exchange rate and oil prices. The ERPT coefficients have peaked in 1998 and 2001, coinciding with the crisis that caused the excessive depreciation of the domestic currency. The OPPT coefficients, on the other hand, reach their maximum effect during the 2008 global financial crisis. Our findings do not reveal a significant decline in ERPT compared with the 1980s. In contrast to a significant first-stage effect, the direct ERPT and OPPT coefficients are found to be insignificant. The findings also show that direct OPPT to consumer fuel prices is significantly higher than that of import prices.
Açıklama
Anahtar Kelimeler
Exchange Rate Pass-Through, Oil Price Pass-Through, South Africa, Tvp-Var, Monetary-Policy, Import Prices, Consumer Prices, Domestic Prices, Macroeconomy, Perspective, Countries, Impact, Model
Kaynak
South African Journal of Economics
WoS Q Değeri
Q3
Scopus Q Değeri
Q2
Cilt
90
Sayı
3
