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AuthorAwad, Ibrahim L.
Available date2023-02-28T06:10:27Z
Publication Date2019
Publication NameInternational Journal of Business and Economics (IJBE)
CitationAwad, I. L. (2019). Revisiting the Exchange Rate Pass-Through to Domestic Inflation in Egypt: Why Is the Statistical Association Weak in the Short Run?. International Journal of Business and Economics, 18(1), 59-77.
URIhttp://hdl.handle.net/10576/40485
AbstractThis study investigates the question of “Why is the statistical association between exchange rate shocks and domestic inflation in Egypt weak?” The study relies on two econometric models, the SVAR model and the Markov switching regression model. Presenting results of statistical analysis showing that the exchange rate pass-through to domestic inflation in Egypt is weak and insignificant over the study’s whole period (2006Q1-2016Q3), but is significant for the sub-periods of 2006Q1-2010Q4 and 2011Q1-2016Q3. We explain the variations of both level and speed of exchange rate pass-through between the sub-periods by two factors: (i) monetary policy intervention to maintain targets for foreign exchange rates and real GDP growth; and (ii) structural change in the time series data resulting from a change in the macroeconomic policies.
Languageen
PublisherAssociation-Institute for English Language and American Studies (AIELAS)
Subjectprice stability
exchange rate pass-through
structural VAR model
Markov switching regression model
TitleRevisiting the Exchange Rate Pass-Through to Domestic Inflation in Egypt: Why Is the Statistical Association Weak in the Short Run?
TypeArticle
Pagination59-77
Issue Number1
Volume Number18
ESSN2545-4137
dc.accessType Open Access


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