Asymmetric Exchange Rate Pass-through in Sudan: Does Inflation React Differently during Periods of Currency Depreciation?

Baharumshah, Ahmad Zubaidi; Sirag, Abdalla; Nor, Norashidah Mohamed

doi:10.1111/1467-8268.12280

Cited by 25 publications

(21 citation statements)

References 30 publications

(62 reference statements)

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Comparing with the previous findings, our result on the relationship between inflation and output growth agrees with Baharumshah et al . () who report that output growth is attributed to Sudanese high inflation. In the case of oil price, the result for South Africa is inconsistent with Ajmi et al .…”

Section: Empirical Results and Discussionmentioning

confidence: 96%

“…The finding for Nigeria echoes the result of Baharumshah et al . () that a 10 per cent increase in output growth leads to an 18 per cent increase in the inflation for Sudan. Furthermore, the result for oil price for Nigeria concurs with the previous studies by Aliyu et al .…”

Section: Empirical Results and Discussionmentioning

confidence: 98%

“…They both report that in the long run oil prices negatively affect domestic prices in Nigeria, while in the case of South Africa the result is consistent with Baharumshah et al . (), who find that oil price shocks are insignificant in explaining the variations in inflation for Sudan. However, our finding contradicts Balcilar et al .…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

“…() for Kenya; Frimpong and Adam (), Amoah and Aziakpono () for Ghana; Siddig (), Baharumshah et al . () for Sudan; Carvalho et al . () for Angola; Musila and Newark () for Malawi; Karoro et al .…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa

Balcılar¹,

Usman²,

Agbede³

2019

African Development Review

View full text Add to dashboard Cite

This paper revisits the exchange rate pass-through (ERPT) to inflation in Nigeria and South Africa by incorporating structural breaks and using time series variables, namely the consumer price index, nominal effective exchange rate, gross domestic product, and crude oil price. Based on the Maki cointegration test and a flexible estimation approach of the Autoregressive Distributed Lag (ARDL) model, our empirical evidence suggests that the long-and short-run ERPT to inflation is complete for Nigeria, while for South Africa it is incomplete both in the long run and short run. This result indicates that prices are stickier in South Africa compared to Nigeria. The comparison between Nigeria and South Africa confirms the role of inflation targeting and central bank credibility on the ERPT. The results divulge further that output growth in Nigeria increases inflation in the long run while it is anti-inflationary in the short run. For South Africa, the effect of output growth is negatively insignificant. In addition, the long-run effect of oil price is negative and significant for Nigeria, while for South Africa the short-run effect of oil price is positive and significant. Therefore, the findings of this paper will assist the monetary authorities to achieve monetary policy objectives.

show abstract

Section: Empirical Results and Discussionmentioning

confidence: 96%

Section: Empirical Results and Discussionmentioning

confidence: 98%

Section: Empirical Results and Discussionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa

Balcılar¹,

Usman²,

Agbede³

2019

African Development Review

View full text Add to dashboard Cite

show abstract

“…Otros autores también han mostrado la relación que tiene el traspaso del tipo de cambio con la inflación. Por ejemplo, Baharumshah, Sirag & Nor (2017), destacan, "la experiencia de muchos países, que la inflación y la depreciación del tipo de cambio están cercanamente conectados" (pág. 446).…”

Section: El Traspaso Del Tipo De Cambiounclassified

Análisis de cointegración entre el tipo de cambio nominal y el índice de precios al consumidor en los países de la APEC 2000-2018

Barriga¹,

Nicanor²

2019

Cimexus

View full text Add to dashboard Cite

The nonlinearity of exchange rate pass‐through on currency invoice: A quantile, generalized method of moments and threshold effect‐test from sub‐Sahara African economies

Abdulqadir

2020

Int. J Fin Econ

View full text Add to dashboard Cite

This article explores the existence of the asymmetric effect of exchange rate passthrough on exporter's currency-invoice in 44 resources abundant sub-Saharan African countries over the period 2008-2017. The investigation is carried-out using asymmetric threshold regression developed by Hansen (1999Hansen ( , 2000 through 1,000 bootstrapping replications and the grid search. Our empirical results based on 44 SSA countries reveal a significant single threshold of 2.60%. We consider the effects of real income, openness, and the terms of trade on the real exchange rate measures, which exhibited a significant effect on the exporter's currencyinvoicing when exceeds beyond the threshold's values. Furthermore, we also consider the distribution of the effect of the regressors on currency-invoice and found significant quantile coefficients appeared differently from the OLS coefficients.The quantile estimates for the exchange rate pass-through reveal an asymmetry and gradual decay on the real exchange rate coefficients from 10th quantile.Hence, the pass-through on the exporter's currency-invoice is incomplete.Besides, the dynamic panel two-step difference GMM estimators revealed statistically significant short-run and long-run impacts of ERPT on exporter's currencyinvoice in 44 SSA countries. In policy terms, the central banks in SSA countries should monitor the developments in the foreign exchange market to design appropriate policies to resist external sector shock from international trade.

show abstract

Asymmetric Exchange Rate Pass-through in Sudan: Does Inflation React Differently during Periods of Currency Depreciation?

Cited by 25 publications

References 30 publications

Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa

Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa

Análisis de cointegración entre el tipo de cambio nominal y el índice de precios al consumidor en los países de la APEC 2000-2018

The nonlinearity of exchange rate pass‐through on currency invoice: A quantile, generalized method of moments and threshold effect‐test from sub‐Sahara African economies

Contact Info

Product

Resources

About