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Macroeconomic Determinants of Exchange Rate Pass-Through in India

16 Pages Posted: 8 May 2007  

Amit Ghosh

Colorado College Department of Economics and Business

Ramkishen S. Rajan

ESSEC Business School

Date Written: April 2007

Abstract

This paper examines the evolution of exchange rate pass-through (ERPT) into India's consumer price index (CPI) at the aggregate level over the period 1980Q1-2006Q4. It also investigates whether the extent of exchange rate pass-through is impacted by common macro fundamentals such as inflation and exchange rate volatility. Finally, the paper also tests for possible asymmetries of ERPT during periods of depreciation versus appreciation.

Keywords: Exchange rate pass-though (ERPT), Exchange rate volatility, India, Inflation

JEL Classification: E31, F31, F41, O53

Suggested Citation

Ghosh, Amit and Rajan, Ramkishen S., Macroeconomic Determinants of Exchange Rate Pass-Through in India (April 2007). Available at SSRN: https://ssrn.com/abstract=984332 or http://dx.doi.org/10.2139/ssrn.984332

Amit Ghosh (Contact Author)

Colorado College Department of Economics and Business ( email )

14 East Cache La Poudre Street
Colorado Springs, CO 80903

Ramkishen S. Rajan

ESSEC Business School ( email )

5 Nepal Park
Singapore, 139408
Singapore

HOME PAGE: http://https://sites.google.com/site/ramkishenrajan/

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