Macroeconomic Determinants of Exchange Rate Pass-Through in India
16 Pages Posted: 8 May 2007
Date Written: April 2007
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
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