Exchange rate pass-through to inflation in Nigeria

Artikel

Concerns about the magnitude and length of exchange rate pass-through to consumer prices have increased in many developing countries in view of its profound implications on price and exchange rate stability as well as the macroeconomic policy environment. This paper examines the exchange rate pass-through effect at the aggregate level into import and consumer prices in Nigeria for the period 1995Q1 - 2015Q1. Utilizing the Johansen approach to cointegration and a vector error correction methodology, the paper found the exchange rate pass-through into Nigeria's CPI inflation to be incomplete. The long run pass-through elasticities were found to be 0.24 and 0.30 for the baseline and alternative models. The effect was discovered to be higher in import than in consumer prices, implying that the pass-through effect declines along the pricing chain. These findings were useful in the design and implementation of monetary and exchange rate policies by the Central Bank of Nigeria.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 07 ; Year: 2016 ; Issue: 1 ; Pages: 49-70 ; Abuja: The Central Bank of Nigeria

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Price Level; Inflation; Deflation ; Foreign Exchange ; Economywide Country Studies: Africa
• Subject: Exchange rate pass-through ; Prices ; Cointegration ; Vector Error Correction ; Impulse response

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bada, Abiodun S. ; Olufemi, Ajibola I. ; Tata, Inuwa A. ; Peters, Idowu ; Bawa, Sani ; Onwubiko, Anigwe J. ; Onyowo, Udoko C.
• Event: Veröffentlichung
• (who): The Central Bank of Nigeria
• (where): Abuja
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/142112
• Last update: 10.03.2025, 11:44 AM CET