Document Type

Conference Proceeding

Publisher

MSSANZ

Faculty

Faculty of Business and Law

School

School of Accounting, Finance and Economics

RAS ID

12954

Comments

This article was originally published as: Saha, S. , & Zhang, Z. (2011). Modelling Exchange Rate Pass-through in Australia, China and India. Paper presented at the 19th International Congress on Modelling and Simulation. Australian Mathematical Sciences Institute. Perth, Australia. Original article available here

Abstract

Exchange rate pass-through (ERPT) has attracted a ttention of many researchers in the last three decades due to the adoption of flexible exchange rate system by many countries. The objectives of this study are to make a comparative study by exploring the literature relating pass-through for import prices and domestic prices in Australia, China and India. In particular, we test whether the exchange rate pass-through to import prices is complete, estimate the pass-through to CPI to investigate whether there is any association between the pass-through and the average inflation rate across these countries. Using a structural VAR model we test the exchange rate pass-through over the period 1990-2011. The impulse responses indicate that exchange rates have less effect in the rising domestic prices in China and India. This will have important policy implication for the monetary authorities.

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