Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries

Balcilar M., Roubaud D., USMAN O., Wohar M. E.

Energy Economics, cilt.98, 2021 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 98
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1016/j.eneco.2021.105249
  • Dergi Adı: Energy Economics
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, PASCAL, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Environment Index, INSPEC, PAIS International, Public Affairs Index
  • Anahtar Kelimeler: BRICS countries, Exchange rate pass-through, Inflation, Oil price, Output growth, STVAR
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

In this paper, we test for the period-specific and regime-dependent exchange rate and oil price pass-through (EROPPT) for the BRICS countries using monthly frequency data. To this end, we extend the Diebold-Yilmaz (DY) spillover index to nonlinear settings based on the vector smooth transition autoregressive (STVAR) model. The results suggest that changes in the exchange rate and oil price of different magnitudes have asymmetric effects between the lower and upper regimes of the period-specific and regime-dependent pass-through. The results further show that the pass-through effects are stronger during periods the BRICS economies have completely adjusted to a specific regime than periods in which the economies only partially adjusted. Furthermore, our findings show considerable evidence of a higher pass-through when nonlinearity is captured. Overall, these findings provide macroeconomic insights for the monetary policymakers.