Testing the asymmetric effects of exchange rate pass-through in BRICS countries: Does the state of the economy matter?

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

World Economy, cilt.44, sa.1, ss.188-233, 2021 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 44 Sayı: 1
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1111/twec.12990
  • Dergi Adı: World Economy
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, EconLit, Geobase, Index Islamicus, PAIS International, Political Science Complete, Public Affairs Index, Social services abstracts, Sociological abstracts, vLex, Worldwide Political Science Abstracts
  • Sayfa Sayıları: ss.188-233
  • Anahtar Kelimeler: BRICS countries, exchange rate pass-through, inflation, smooth transition vector autoregressive
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

This paper investigates not only the question of whether there is exchange rate pass-through (ERPT) but also the extent to which the pass-through is asymmetric or state-dependent in the BRICS countries. Using monthly data from 1999:M1 to 2019:M12 and non-linear smooth transition vector autoregressive (STVAR) model, our results provide evidence of period-specific ERPT between the upper and lower regime periods, governed by the selected transition variables. The results further suggest that the pass-through of exchange rate is higher when the economy is experiencing large appreciations and expansions as well as large depreciations and recessions. Theimplication for these findings is that ERPT is strongly affected by the state of the economy.