TY  - GEN
AB  - In this study, we explore the pass-through of exchange rate fluctuations to domestic CPI and its components for Azerbaijan, Kazakhstan and Russia. Using the data of 2003:Q1- 2016:Q2, we estimate a VAR model and find significant but incomplete pass-through in all sample countries. The accumulated pass-through to aggregate CPI within one year is 28 percent for both Azerbaijan and Kazakhstan; however the equivalent figure for Russia is 32 percent. According to our empirical findings the largest pass-through (ERPT) is observed in the non-food CPI in Azerbaijan and Kazakhstan, whereas in Russia the food prices demonstrate the greatest ERPT. Since the ERPT is an essential ingredient of price developments in sample countries, it should be assessed precisely and taken into account in monetary policy decisions and inflation forecasting.
AU  - Rahimov, Vugar
AU  - Jafarova, Nigar
AU  - Ganbarov, Fuad
CY  - Geneva
DA  - 2017
DA  - 2017
DO  - 10.71609/iheid-as7x-cf11
DO  - doi
ID  - 294972
L1  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf
L1  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf?subformat=pdfa
L2  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf
L2  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf?subformat=pdfa
L4  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf
L4  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf?subformat=pdfa
LK  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf
LK  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf?subformat=pdfa
N2  - In this study, we explore the pass-through of exchange rate fluctuations to domestic CPI and its components for Azerbaijan, Kazakhstan and Russia. Using the data of 2003:Q1- 2016:Q2, we estimate a VAR model and find significant but incomplete pass-through in all sample countries. The accumulated pass-through to aggregate CPI within one year is 28 percent for both Azerbaijan and Kazakhstan; however the equivalent figure for Russia is 32 percent. According to our empirical findings the largest pass-through (ERPT) is observed in the non-food CPI in Azerbaijan and Kazakhstan, whereas in Russia the food prices demonstrate the greatest ERPT. Since the ERPT is an essential ingredient of price developments in sample countries, it should be assessed precisely and taken into account in monetary policy decisions and inflation forecasting.
PB  - The Graduate Institute of International and Development Studies, International Economics Department
PP  - Geneva
PY  - 2017
PY  - 2017
T1  - The exchange rate pass-through to CPI and its components in oil-exporting CIS countries
TI  - The exchange rate pass-through to CPI and its components in oil-exporting CIS countries
UR  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf
UR  - https://repository.graduateinstitute.ch/record/294972/files/HEIDWP06-2017.pdf?subformat=pdfa
Y1  - 2017
ER  -