Asymmetric exchange rate pass-through to consumer prices in Egypt | ||
| مجلة السياسة والاقتصاد | ||
| Volume 21, Issue 20, October 2023, Pages 451-470 PDF (541.69 K) | ||
| Document Type: مقالات سیاسیة واقتصادیة | ||
| DOI: 10.21608/jocu.2023.200721.1261 | ||
| Authors | ||
| Rania Anis Elsharkawy* 1; Ahmed Wassal Elroukh2 | ||
| 1Department of Economics, Faculty of Economic Studies and Political science, Alexandria university | ||
| 2Department of Economics, Faculty of Economic Studies and Political Science, Alexandria University | ||
| Abstract | ||
| This paper investigates the exchange rate pass-through to consumer prices in Egypt during the period (1960- 2020). A Nonlinear Autoregressive Distributed Lags (NARDL) model is employed to isolate domestic currency depreciations from its appreciations and to account for the potential asymmetry in the impact of the exchange rate on consumer prices. The results of the study show evidence of asymmetric pass-through to consumer prices in the long run. The exchange rate pass-through effect is found to be positive but incomplete in the periods of domestic currency depreciation and statistically insignificant in the periods of currency appreciation. These results are consistent with the stickiness of prices downwards. Accordingly, we recommend that the Egyptian monetary authority should carefully and consistently monitor the behavior of the exchange rate and adopt efficient exchange rate management policies so as to reduce exchange rate fluctuations, resist the inflationary pressures arising from the external sector and ensure the stability of consumer prices. | ||
| Keywords | ||
| Asymmetric exchange rate pass through; Inflation; Non linear ARDL; Egypt | ||
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