Exchange Rate Pass-Through in South Africa: Panel Evidence from Individual Goods and Services
David C. Parsley
Vanderbilt University – Finance
December 1, 2010
Journal of Development Studies, Forthcoming
This study estimates pass-through for South Africa using samples of final goods and services, and homogenous imports. Estimated pass-through to consumer goods prices is low, roughly 16 percent in the two years following an exchange rate change; surprisingly, it is somewhat higher for services. Deviations from long run PPP appear to disappear relatively quickly, with a half-life of about 16 months. For imports, pass-through estimates are much higher, averaging around 60 percent, but with wide source-country variation. Finally, there is virtually no support for a simple linear trend change in either pass-through or in reversion to PPP during the sample.
Number of Pages in PDF File: 36
Date posted: July 19, 2010 ; Last revised: November 25, 2012