Where Does the Exchange Rate Pass-Through to Import Price Inflation Threshold Lie?
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This chapter shows evidence of non-linearity in exchange rate pass-through (ERPT) to import price inflation introduced by the exchange rate depreciation threshold of 0.28 per cent. There is high persistence of import price inflation in a higher exchange rate depreciation regime and import price display asymmetries to large depreciations or appreciations shocks above the exchange rate threshold. At the same time, GDP growth amplifies the responses of headline inflation to import price inflation more than the exchange rate. In policy terms, this means that inflation will tend to exhibit more stickiness (persistence) at higher levels in the presence of rand depreciation regimes.
KeywordsExchange Rate Import Price Exchange Rate Volatility Exchange Rate Change Dollar Exchange Rate
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