Exchange Rate Pass-Through in Russia

Ponomarev, Yuriy; Трунин, Павел; Uluykaev, Alexei

doi:10.2139/ssrn.2458881

Cited by 4 publications

(3 citation statements)

References 18 publications

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“…For Russia, Kataranova (2010) indicates that consumer prices react to the depreciation of home currency than appreciation. This finding is, however, contrary to Ponomarev, Trunin, and Ulyukaev (2016) who show that the depreciation of domestic currency causes prices to rise but the appreciation of it does not lead to a fall in prices. In Brazil, Albuquerque and Portugal (2005) apply the time‐varying parameters to investigate the ERPT to inflation during the period of 1980–2002.…”

Section: Theoretical Framework and Literature Reviewmentioning

confidence: 99%

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

2020

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One of the central issues within the framework of the new open-economy macroeconomic models is the pass-through of exchange rate to prices. This issue is largely triggered by persistent high volatility in terms of exchange rates between countries following the collapse of the Bretton Woods system of adjustable peg in the 1970s. Essentially, the issue has demonstrated a vastly increased risk to achieving the monetary policy goal of low and stable inflation levels especially during periods of greater openness, characterised by a significant change in exchange rate and trade policies (see Balcilar,

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Section: Theoretical Framework and Literature Reviewmentioning

confidence: 99%

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

2020

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“…There are several papers focusing on exchange rate pass-through in specific CIS countries, mainly Russia. The studies for Russia, for example, provide quite a wide variety of estimates for ERPT (Dobrynskaya and Levando, 2005;Beck and Barnard 2009;Kataranova, 2010;Ponomarev et al, 2014). The estimates of ERPT to CPI for USD range between 5-40 % after one quarter, and between 20-90 % after four quarters.…”

Section: Literature Reviewmentioning

confidence: 99%

“…For emerging economies, the evidence is mixed, but it seems that depreciation may lead to stronger ERPT than appreciation and that large devaluations are associated with stronger than proportionate ERPT (Mihaljek and Klau, 2008;Razafimahefa, 2012;IMF, 2015). Among CIS countries, asymmetric effects have been found at least for Russia (Kataranova, 2010;Ponomarev et al, 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors

Comunale

Simola

2018

Research in International Business and Finance

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This empirical study considers the pass-through of key nominal exchange rates and commodity prices to consumer prices in the Commonwealth of Independent States (CIS), taking into account the effect of idiosyncratic and common factors influencing prices. In order to do that, given the relatively short window of available quarterly observations (1999-2014), we choose heterogeneous panel frameworks and control for cross-sectional dependence. The exchange rate passthrough is found to be relatively high and rapid for CIS countries in the case of the nominal effective exchange rate, but not significant for the bilateral rate with the US dollar. We also show that global factors in combination with financial gaps and commodity prices are important. In the case of large rate swings, the exchange rate pass-through of the bilateral rate with the US dollar becomes significant and similar to that of the nominal effective exchange rate.

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Türkiye’de Döviz Kurunun Tüketici Fiyatları Üzerindeki Asimetrik Geçiş Etkileri

Göktaş

2019

Sosyoekonomi

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This study examines the relationship between nominal exchange rates and consumer price index (CPI) in Turkey for the period 2003:01-2018:02 by using monthly data. According to the results of bound testing to cointegration under NARDL approach, CPI is found to be correlated with positive and negative exchange rate baskets in the long run. Moreover, a 1% of depreciation and appreciation in TL results in 0.24% and 0.17% increase in CPI, respectively. Therefore, the amount of increase in CPI due to rising exchange rates is greater than that of an increase due to falling exchange rates in the period studied.

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Exchange Rate Pass-Through in Russia

Cited by 4 publications

References 18 publications

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?

The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors

Türkiye’de Döviz Kurunun Tüketici Fiyatları Üzerindeki Asimetrik Geçiş Etkileri

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