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dc.contributor.advisorVan Lill, Dawie
dc.contributor.authorChiparawasha, Francis
dc.date.accessioned2016-05-30T10:26:01Z
dc.date.available2016-05-30T10:26:01Z
dc.date.issued2015
dc.identifier.urihttp://hdl.handle.net/11394/5017
dc.descriptionMagister Commercii - MComen_US
dc.description.abstractThis mini-thesis examines the speed and magnitude of exchange rate pass-through to domestic prices in South Africa. The shift from fixed exchange rate regimes to a system of floating exchange rates by many countries after the collapse of the Bretton Woods system increased the role of the exchange rate in the determination of inflation. In theory, exchange rate depreciation causes inflation via a process called exchange rate pass-through (ERPT). The effect of exchange rate variations on inflation is of special interest to policy makers especially for countries under inflation targeting regimes. The knowledge of the speed and magnitude of ERPT to domestic inflation (import, producer and consumer inflation) is important in the designing of an optimal monetary policy mix which is needed to ensure price stability. South Africa is one of the countries that moved to an inflation targeting regime under a system of a floating exchange rate. This study therefore aims to empirically determine the speed and magnitude of ERPT to domestic prices in the short run and long run using VAR and VEC models. The empirical results show that ERPT to import prices is immediate and moderately high reaching a peak of about 45% and 47% within three quarters for the VAR and VEC models respectively. In contrast, ERPT to producer and consumer prices is gradual and low. For instance, long-run ERPT is below 30% for producer prices and around 20% for consumer prices. Moreover, the results indicate a high pass-through (above 75%) of producer price shocks to consumer prices. In sharp contrast, the extent of pass-through of import price shocks to consumer prices as reported in the VECM is low at approximately 10% in the short run and declining to approximately 2% in the long run.en_US
dc.description.sponsorshipNational Research Foundation (NRF)en_US
dc.language.isoenen_US
dc.publisherUniversity of the Western Capeen_US
dc.subjectExchange rateen_US
dc.subjectMonetary policyen_US
dc.subjectImport pricesen_US
dc.subjectProducer pricesen_US
dc.subjectExchange rate pass-throughen_US
dc.subjectSouth Africaen_US
dc.titleExchange rate pass-through to domestic prices in South Africaen_US
dc.rights.holderUniversity of the Western Capeen_US


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