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| Siew-Voon Soon and Ahmad Zubaidi Baharumshah |
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| ''Exchange Rate Pass-through (ERPT) into Domestic Prices: Evidence from a Nonlinear Perspective'' |
| ( 2017, Vol. 37 No.2 ) |
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| This paper uses a Markov-switching intercept autoregressive heteroskedasticity model to examine inflation dynamics and the exchange rate pass-through (ERPT) in Malaysia. Two different regimes are identified in the sample period (1990:Q1–2015:Q4). The results confirm a partial ERPT to domestic consumer prices, but the effect of exchange rates on domestic prices is asymmetry. The incomplete ERPT to the consumer price index is consistent with findings in earlier studies. We also confirm a positive but time-varying impact of terms of trade shocks on inflation. |
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| Keywords: endogenous multiple breaks, exchange rate, inflation |
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
F3 - International Finance: General |
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| Manuscript Received : Aug 02 2015 | | Manuscript Accepted : May 25 2017 |
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