Topics in Middle Eastern and North African Economies
Document Type
Article
Publication Date
9-1-2023
Abstract
While the exchange rate pass-through to Inflation has been thoroughly investigated in the theoretical and empirical literature, few studies have attempted to investigate the passthrough in Egypt with mixed results. This paper attempts at investigating the exchange rate passthrough to headline consumer prices in Egypt, including potential presence of asymmetric effects of a currency appreciation/depreciation on consumer prices. Nonlinear Autoregressive Distributed Lags methodology is used on quarterly data from 2001 to 2022. The paper's contribution to the literature is threefold: First, this paper utilizes an updated time series from 2001 to 2022. Second, a newly developed quantitative index that captures the magnitude and timing of changes in subsidized fuel prices domestically, to account for the high share of subsidized items in the consumer basket, is included in the list of control variables. In addition, the study also includes a control variable that tests the effect of low/high volatility in inflation, as a proxy for the effect of the monetary policy on the exchange rate pass-through to consumer prices. Finally, this paper utilizes stationarity and causality tests that account for structural breaks into the series, which have not been previously tested for Egypt, despite the country witnessing several break points in that period that could affect stationarity and the final conclusions as a result.
Journal Title
Topics in Middle Eastern and North African Economies
ISSN
2334-282X
Publisher
Middle East Economic Association and Loyola University Chicago
Volume
25
Issue
2
Recommended Citation
Amer, Ziad, "Exchange Rate Pass-Through to Headline Consumer Prices in Egypt: Exploring Asymmetric Effects". Topics in Middle Eastern and North African Economies, electronic journal, 25, 2, Middle East Economic Association and Loyola University Chicago, 2023, http://www.luc.edu/orgs/meea/
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Copyright Statement
© The Author(s), 2023
Comments
Presentation of the articles in the Topics in Middle Eastern and North African Economies was made possible by a limited license granted to Loyola University Chicago and Middle East Economics Association from the authors who have retained all copyrights in the articles.