Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296774 
Year of Publication: 
2023
Series/Report no.: 
ADBI Working Paper No. 1379
Publisher: 
Asian Development Bank Institute (ADBI), Tokyo
Abstract: 
Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate pass-through (ERPT) to both producer and consumer prices for nine emerging Asian economies. We also examine the role of four global shocks as propagation channels to both producer and consumer price ERPT, specifically via oil prices, global output, US monetary policy, and the VIX. Our main findings are: (i) ERPT is incomplete and mostly higher for ERPT to producer than consumer prices; (ii) longer-term ERPT to producer and consumer prices is mostly greater in magnitude than shorter-term ERPT; (iii) ERPT has been declining for most Asian EMEs since around 2010; (iv) oil price and global output shocks mostly affect longer-term producer price ERPT in emerging Asia; and (v) US monetary policy and VIX shocks mostly affect longer-term consumer price ERPT in emerging Asia.
Subjects: 
exchange rate pass-through
global shocks
structural VAR
time-varying parameter VAR
JEL: 
E31
F31
F41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

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