EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS
This research estimates the exchange rate pass-through (ERPT) into import prices by applying an extension of the basic model of ERPT on Indonesia. It estimates models of cointegration and error-correction mechanism (ECM), with and without structural breaks. It uses the techniques of Zivot-Andrews an...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2011-09-01
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| Series: | Economic Journal of Emerging Markets |
| Online Access: | https://journal.uii.ac.id/JEP/article/view/2320 |
| _version_ | 1818236115587432448 |
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| author | Arintoko Arintoko |
| author_facet | Arintoko Arintoko |
| author_sort | Arintoko Arintoko |
| collection | DOAJ |
| description | This research estimates the exchange rate pass-through (ERPT) into import prices by applying an extension of the basic model of ERPT on Indonesia. It estimates models of cointegration and error-correction mechanism (ECM), with and without structural breaks. It uses the techniques of Zivot-Andrews and of Gregory-Hansen to test for structural breaks and cointegration with the structural breaks, respectively. The results show that with the control variables, inflation affects import prices and lower the pass-through for short term, in a condition of free floating exchange rate. In the short term, with the inclusion of structural breaks, significant inflation affects import prices and lowers the ERPT coefficient.
Keywords: Exchange rate pass-through, inflation, structural breaks, cointegration, error-correction mechanism
JEL classification numbers: C22, C32, E31, F41
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| first_indexed | 2024-12-12T12:04:44Z |
| format | Article |
| id | doaj.art-5d3cb204a5d24d8296bff61abf897c8e |
| institution | Directory Open Access Journal |
| issn | 2086-3128 2502-180X |
| language | English |
| last_indexed | 2024-12-12T12:04:44Z |
| publishDate | 2011-09-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj.art-5d3cb204a5d24d8296bff61abf897c8e2022-12-22T00:25:01ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2011-09-0131EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKSArintoko ArintokoThis research estimates the exchange rate pass-through (ERPT) into import prices by applying an extension of the basic model of ERPT on Indonesia. It estimates models of cointegration and error-correction mechanism (ECM), with and without structural breaks. It uses the techniques of Zivot-Andrews and of Gregory-Hansen to test for structural breaks and cointegration with the structural breaks, respectively. The results show that with the control variables, inflation affects import prices and lower the pass-through for short term, in a condition of free floating exchange rate. In the short term, with the inclusion of structural breaks, significant inflation affects import prices and lowers the ERPT coefficient. Keywords: Exchange rate pass-through, inflation, structural breaks, cointegration, error-correction mechanism JEL classification numbers: C22, C32, E31, F41 https://journal.uii.ac.id/JEP/article/view/2320 |
| spellingShingle | Arintoko Arintoko EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS Economic Journal of Emerging Markets |
| title | EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS |
| title_full | EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS |
| title_fullStr | EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS |
| title_full_unstemmed | EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS |
| title_short | EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS |
| title_sort | exchange rate pass through import prices and inflation under structural breaks |
| url | https://journal.uii.ac.id/JEP/article/view/2320 |
| work_keys_str_mv | AT arintokoarintoko exchangeratepassthroughimportpricesandinflationunderstructuralbreaks |