Exchange Rate Pass-Through in South Africa: Panel Evidence from Individual Goods and Services

Journal of Development Studies, Forthcoming

36 Pages Posted: 19 Jul 2010 Last revised: 25 Nov 2012

David C. Parsley

Vanderbilt University – Finance

Date Written: December 1, 2010

Abstract

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.

Suggested Citation

Parsley, David C., Exchange Rate Pass-Through in South Africa: Panel Evidence from Individual Goods and Services (December 1, 2010). Journal of Development Studies, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1644969

David C. Parsley (Contact Author)

Vanderbilt University – Finance ( email )

401 21st Avenue South
Nashville, TN 37203
United States
615-322-0649 (Phone)
615-343-7177 (Fax)

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