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...
Main Author: | |
---|---|
Format: | Article |
Language: | English |
Published: |
Universitas Islam Indonesia
2011-09-01
|
Series: | Economic Journal of Emerging Markets |
Online Access: | https://jurnal.uii.ac.id/JEP/article/view/2320 |
_version_ | 1811288997301846016 |
---|---|
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
|
first_indexed | 2024-04-13T03:47:08Z |
format | Article |
id | doaj.art-a4509caac4fb43098e5d53446db498b9 |
institution | Directory Open Access Journal |
issn | 2086-3128 2502-180X |
language | English |
last_indexed | 2024-04-13T03:47:08Z |
publishDate | 2011-09-01 |
publisher | Universitas Islam Indonesia |
record_format | Article |
series | Economic Journal of Emerging Markets |
spelling | doaj.art-a4509caac4fb43098e5d53446db498b92022-12-22T03:03:59ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2011-09-013110.20885/ejem.v3i1.2320EXCHANGE 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://jurnal.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://jurnal.uii.ac.id/JEP/article/view/2320 |
work_keys_str_mv | AT arintokoarintoko exchangeratepassthroughimportpricesandinflationunderstructuralbreaks |