BRICS: How Important is the Exchange Rate Pass‐Through?

13 Pages Posted: 7 Jun 2020

See all articles by Rebeca Jiménez-Rodríguez

Rebeca Jiménez-Rodríguez

University of Salamanca - Department of Economics and Economic History

Amalia Morales‐Zumaquero

affiliation not provided to SSRN

Date Written: March 2020

Abstract

This paper analyses the exchange rate pass‐through (ERPT) into domestic consumer prices in BRICS (Brazil, Russia, India, China and South Africa) countries from mid‐1990s onwards by using three different econometric approaches (i.e., the single equation approach, the VAR approach and the time‐varying parameter approach). It is also studied the role of macroeconomic determinants in ERPT. Our results suggest that (a) ERPT is higher for the emerging markets with mostly floating exchange rates (Brazil, Russia and South Africa) than for the other BRICS countries; (b) exchange rate explains, on average, around the 40% of the price variance for Brazil, Russia and South Africa; and (c) inflation volatility, exchange rate volatility and openness seem to be the key macroeconomic determinants in BRICS countries.

Keywords: BRICS, exchange rate pass‐through, macroeconomic determinants

Suggested Citation

Jiménez-Rodríguez, Rebeca and Morales‐Zumaquero, Amalia, BRICS: How Important is the Exchange Rate Pass‐Through? (March 2020). The World Economy, Vol. 43, Issue 3, pp. 781-793, 2020, Available at SSRN: https://ssrn.com/abstract=3621029 or http://dx.doi.org/10.1111/twec.12885

Rebeca Jiménez-Rodríguez (Contact Author)

University of Salamanca - Department of Economics and Economic History ( email )

Salamanca, 37008
Spain

Amalia Morales‐Zumaquero

affiliation not provided to SSRN

No Address Available

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
0
Abstract Views
80
PlumX Metrics