Since 2014
EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS
Economic Journal of Emerging Markets
View Archive Info| Field | Value | |
| Title |
EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS
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| Creator |
Arintoko, Arintoko
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| 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 mechanismJEL classification numbers: C22, C32, E31, F41
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| Publisher |
Universitas Islam Indonesia
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| Contributor |
—
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| Date |
2011-09-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journal.uii.ac.id/index.php/JEP/article/view/2320
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| Source |
Economic Journal of Emerging Markets; Volume 3 Issue 1, 2011; 55-75
2502-180X 2086-3128 |
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| Language |
eng
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| Relation |
http://journal.uii.ac.id/index.php/JEP/article/view/2320/2119
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