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Exchange Rate Pass-through to CPI and Inflation in Caucasian Countries: Measuring effect of Exchange rate on CPI inflation by using VAR method - Couverture souple

Grigolava, Grigol

 
9783848430819: Exchange Rate Pass-through to CPI and Inflation in Caucasian Countries: Measuring effect of Exchange rate on CPI inflation by using VAR method
Couverture souple
ISBN 10 : 3848430819 ISBN 13 : 9783848430819
Editeur : LAP LAMBERT Academic Publishing, 2012

Synopsis

Objective of this study is to analyze exchange rate pass-through in transitional, Caucasian countries. To perform proper analysis several equations must be estimated simultaneously, which nominates Vector Auto Regression as the best method for this study. Illustration of impulse response functions and variance decomposition show us degree of pass-through and share of variation in consumer prices explained by changes in exchange rate. Despite data limitation this research provides meaningful results. Caucasian countries have many similarities but each reveals its own uniqueness. Pass-through is relatively higher in Georgia and Armenia and very low in Azerbaijan. This is consistent with previous literature that countries with higher share of import have higher pass-through. Vector Error Correction model shows that the lowest deviation from long-term equilibrium is in Armenia, which probably is due to inflation targeting strategy. Variance decomposition shows significant share of exchange rates in explaining changes in CPI only in Georgia, which should suggest Georgian monetary authority to observe changes in exchange rate more carefully than other Caucasian countries.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Objective of this study is to analyze exchange rate pass-through in transitional, Caucasian countries. To perform proper analysis several equations must be estimated simultaneously, which nominates Vector Auto Regression as the best method for this study. Illustration of impulse response functions and variance decomposition show us degree of pass-through and share of variation in consumer prices explained by changes in exchange rate. Despite data limitation this research provides meaningful results. Caucasian countries have many similarities but each reveals its own uniqueness. Pass-through is relatively higher in Georgia and Armenia and very low in Azerbaijan. This is consistent with previous literature that countries with higher share of import have higher pass-through. Vector Error Correction model shows that the lowest deviation from long-term equilibrium is in Armenia, which probably is due to inflation targeting strategy. Variance decomposition shows significant share of exchange rates in explaining changes in CPI only in Georgia, which should suggest Georgian monetary authority to observe changes in exchange rate more carefully than other Caucasian countries.

Biographie de l'auteur

Mr. Grigol Grigolava has obtained his MA degree in economics in 2009. Since then he works at Monetary Policy division of The National Bank of Georgia. He mainly focuses on debt sustainability issues, participates in research of exchange rate movements and effect on Georgia's economy.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2012
Langue
anglais
ISBN 10 
3848430819
ISBN 13 
9783848430819
Reliure
Broché
Nombre de pages
56
Coordonnées du fabricant
non disponible
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