Authors: Ahlem Dahem and Fatma Siala Guermazi
Relying on monthly and quarterly data, from 2000 to 2015, this paper keeps up with SVAR modeling and price chain study, through a disaggregate approach that aims at analyzing the exchange rate pass-through (ERPT) on the various components of consumer price index (CPI).
To our knowledge, this study is the first attempt at ERPT estimation through a disaggregate approach for the CPI. The results show that the total ERPT is about 20%. Specifically, 10% of PT on the administered prices after 2011 revolution date (6% of PT for food administered prices and 7% of PT for energy prices), which contradicts the prevailing theory that admits the inexistence of PT for administered prices.
Our findings confirm the importance of a disaggregate analysis for studying ERPT to contain inflation.
Keywords: Exchange Rate Pass-through – Monetary policy – Emerging Market – Disaggregated analysis
JEL Classification: C32, E31, E42, E52, F31, F41, O55