Abstract

This article estimates the extent and speed of exchange rate pass-through (ERPT) in seven Caucasus and Central Asia (CCA) countries using monthly data over the January 1995–May 2020 period. The estimations are performed using the local projections method. We find that the average pass-through in the CCA is about 10% on impact and about 25% after 12 months. There is no evidence of asymmetric ERPT with respect to the size and the sign of exchange rate changes. The pass-through is broadly unchanged in fixed versus floating exchange rate regimes. There has been a downward shift in the speed of ERPT in the aftermath of the global financial crisis as CCA countries have entered a relatively low inflation environment. The pass-through estimates could be used by the CCA monetary authorities for inflation projections. The absence of nonlinearities in the pass-through with respect to the exchange rate regime suggests that transition from fixed to floating exchange rate regimes in the region is not likely to impose additional inflationary costs.

摘要

本文使用 1995 年 1 月至 2020 年 5 月期间的月度数据估计了七个高加索和中亚 (CCA) 国家汇率传递 (ERPT) 的范围和速度。使用局部投影方法进行估计。我们发现 CCA 中的平均通过影响约为 10%，12 个月后约为 25%。没有证据表明 ERPT 的规模和汇率变化的迹象是不对称的。在固定汇率制度与浮动汇率制度下，传导率基本保持不变。在全球金融危机之后，随着 CCA 国家进入相对较低的通胀环境，ERPT 的速度出现了下降。CCA 货币当局可以使用传递估计来进行通胀预测。