The exchange rate pass-through to CPI and its components in oil-Exporting CIS countries

Vugar Rahimov (Central Bank of the Republic of Azerbaijan), Nigar Jafarova (Central Bank of the Republic of Azerbaijan), Fuad Ganbarov (Azerbaijan National Academy of Sciences, Institute of Economics)

In this study, we explore the pass-through of exchange rate fluctuations to domestic CPI and its components for Azerbaijan, Kazakhstan and Russia. Using the data of 2003:Q1- 2016:Q2, we estimate a VAR model and find significant but incomplete pass-through in all sample countries. The accumulated pass-through to aggregate CPI within one year is 28 percent for both Azerbaijan and Kazakhstan; however the equivalent figure for Russia is 32 percent. According to our empirical findings the largest pass-through (ERPT) is observed in the non-food CPI in Azerbaijan and Kazakhstan, whereas in Russia the food prices demonstrate the greatest ERPT. Since the ERPT is an essential ingredient of price developments in sample countries, it should be assessed precisely and taken into account in monetary policy decisions and inflation forecasting.

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Year of publication:	[2017]
Authors:	Rahimov, Vugar ; Jafarova, Nigar ; Ganbarov, Fuad
Publisher:	Geneva, Switzerland : Graduate Institute of International and Development Studies, International Economics Department
Subject:	Exchange rate pass-through \| VAR model \| disaggregated CPI \| oil exporting countries \| Exchange Rate Pass-Through \| Verbraucherpreisindex \| Consumer price index \| VAR-Modell \| GUS-Staaten \| CIS countries \| OPEC-Staaten \| OPEC countries \| Ölpreis \| Oil price \| Preiskonvergenz \| Price convergence \| Wechselkurs \| Exchange rate