Exchange Rate Pass-Through for Selected Asian Economies

Toh, Mun‐Heng; Ho, H.N.

doi:10.1142/s0217590801000358

Cited by 19 publications

(9 citation statements)

References 13 publications

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“…Lee (1995) looked at Korean manufacturing exports and found evidence of low pass‐through (implying PTM under his modelling assumptions). Toh and Ho (2001) examined several primary good exports as well as several manufactured goods at a semi‐aggregate level for Malaysia, Singapore, Taiwan and Thailand for the pre‐crisis period. Their study was not bilateral in nature, but instead estimated the co‐movement of export prices with effective exchange rates which may account, in part, for their mixed results.…”

Section: Previous Estimates Of Pass‐through and Ptm In East Asiamentioning

confidence: 99%

“…While there have been numerous studies on exchange rate pass‐through and PTM over the past two decades (see Marston, 1990; Knetter, 1993; and Gil‐Pareja, 2002; among many others), typically these have focused on developed countries’ export pricing behaviour, such as the US, Japan and Western European nations 2 . While there are recent exceptions, such as the study on export pricing in MERCOSUR (Chang and Winters, 2002) and a handful on export pricing in non‐Japanese Asian countries (Lee, 1995; Toh and Ho, 2001; and Parsley, 2004), pass‐through studies on low‐ and middle‐income countries are still scarce.…”

Section: Introductionmentioning

confidence: 99%

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Exchange Rate Pass‐through and Currency Invoicing: Implications for Monetary Integration in East Asia

Parsons

Sato

2006

World Economy

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Exporter's price-setting behaviour and currency invoicing play a key role in the literature on the new open-economy macroeconomics. This paper estimates exchange rate pass-through coefficients for the exports of four ASEAN countries: Indonesia, Malaysia, the Philippines and Thailand. In addition, previous estimates of pass-through as well as invoicing behaviour in East Asia are discussed in the context of regional integration. The new pass-through coefficients are estimated under two alternate specifications for up to 34 goods for each of the four ASEAN countries destined for up to 13 major markets. The results suggest: (a) little pass-through is occurring in Southeast Asia and (b) this lack of pass-through is more likely attributable to the fact that they are small countries in a relatively integrated market, rather than evidence of pricing to market. The implications for regional monetary integration of this apparently low degree of pass-through are detailed. Copyright 2006 The Authors Journal compilation Blackwell Publishing Ltd. 2006 .

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Section: Previous Estimates Of Pass‐through and Ptm In East Asiamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Exchange Rate Pass‐through and Currency Invoicing: Implications for Monetary Integration in East Asia

Parsons

Sato

2006

World Economy

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“…These include recursive VAR models, e.g., McCarthy (2000), Structural (or restricted) VAR models, e.g., Choudhri, Faruquee and Hakura (2005), VARs in levels with sign restrictions, e.g., , Generalized VAR impulse response models, e.g., Mihailov (2005) and Cointegration Analysis and Vector Error Correction Models, e.g., Toh and Ho (2001).…”

Section: Introductionmentioning

confidence: 99%

“…Toh and Ho (2001) used cointegration techniques and error correction modelling to provide estimates of the long run and short run pass-through of exchange rates to export prices in four Asian countries, namely, Malaysia, Thailand, Taiwan and Singapore, using quarterly data for the period between 1975:1 and 1996:2 both at the aggregate and disaggregate levels. They showed the degree of pass-through to export prices to be 0.127, 0.633, 0.807 and 0.997, for Taiwan, Malaysia, Singapore and Thailand, respectively.…”

Section: Introductionmentioning

confidence: 99%

Exchange Rate Pass-Through in ASEAN: Implications for the Prospects of Monetary Integration in the Region

Cortinhas

2007

SSRN Journal

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This paper investigates, for the first time, the degree of exchange rate pass-through to domestic prices in all five founding members of ASEAN. For this purpose, a three variable recursive VAR model was applied which uses the Choleski decomposition method along the distribution chain of pricing, using data for the period 1968 to 2001. The results show that a strong case for entering a currency union can only be made for the cases of Singapore and Malaysia as in these countries there appears to be a case of exchange rate disconnect. A case for a common currency can also be made for Indonesia but for entirely different reasons. For this country, an independent monetary policy is a clear source of shocks to the economy and therefore a currency union would tend to eliminate then. A weaker case for a common currency can be made for the Philippines as evidence of some exchange rate pass-through to inflation was found but not to import prices. Finally, Thailand exhibits a clear case of exchange rate passthrough to import prices (but not to inflation) and thus evidence that a flexible exchange rate might be preferable as it provides the means to improve the country s price competitiveness.

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“…Although there have been a large number of studies focusing on exchange rate pass‐through of Japanese trade such as Ohno (1989), Marston (1990), and Otani, Shiratsuka, and Shirota (2005), only a few attempts have been made at the exchange rate pass‐through of East Asian trade. See, for instance, Toh and Ho (2001), Sasaki (2005), and Parsons and Sato (2006). Parsons and Sato relate the pass‐through of East Asian exporters to their U.S. dollar invoicing behavior.…”

mentioning

confidence: 99%

Exchange Rate Changes and Inflation in Post‐Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass‐Through

Ito¹,

Sato²

2008

J of Money Credit Banking

141

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Macro-economic consequences of large currency depreciations among the crisis-hit Asian economies varied from one country to another. Inflation did not soar after the Asian currency crisis of 1997-98 in most crisis-hit countries except Indonesia where high inflation followed a very large nominal depreciation of the rupiah. The high inflation meant a loss of price competitive advantage, a key for economic recovery from a crisis. This paper examines the pass-through effects of exchange rate changes on the domestic prices in the East Asian economies using a vector autoregression analysis. The main results are as follows: (i) the degree of exchange rate pass-through to import prices was quite high in the crisis-hit economies; (ii) the pass-through to Consumer Price Index (CPI) was generally low, with a notable exception of Indonesia; and (iii) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks were positive, large, and statistically significant. Thus, Indonesia's accommodative monetary policy, coupled with the high degree of CPI responsiveness to exchange rate changes was an important factor in the inflation-depreciation spiral in the wake of the currency crisis. Copyright (c) 2008 The Ohio State University.

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Exchange Rate Pass-Through for Selected Asian Economies

Cited by 19 publications

References 13 publications

Exchange Rate Pass‐through and Currency Invoicing: Implications for Monetary Integration in East Asia

Exchange Rate Pass‐through and Currency Invoicing: Implications for Monetary Integration in East Asia

Exchange Rate Pass-Through in ASEAN: Implications for the Prospects of Monetary Integration in the Region

Exchange Rate Changes and Inflation in Post‐Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass‐Through

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