Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time-varying pass-through coefficients
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Date
2022
Journal Title
Journal ISSN
Volume Title
Publisher
Wiley
Access Rights
info:eu-repo/semantics/closedAccess
Abstract
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.
Description
Keywords
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
Journal or Series
South African Journal of Economics
WoS Q Value
Q3
Scopus Q Value
Q2
Volume
90
Issue
3
