[ Pass-through du Taux de change et inflation au Maroc : Une analyse en modèle VAR ]
Volume 11, Issue 2, November 2014, Pages 363–370
Moulay El Mehdi Falloul1
1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
The objective of this paper is to examine empirically the pass-through of the exchange rate changes on the domestic prices. In order to take into account of bi-directional effects, as well as other macroeconomic factors, between domestic inflation and exchange rate changes, a vector autoregression (VAR) analysis is used, with four variables that are: the oil BRENT price, nominal effective exchange rate, consumer price index and the output gap. Empirical findings shows that innovations on the exchange rate cause a similar response on the consumer price index (CPI), also the consumer price index is influenced by the price of the BRENT barrel.
Author Keywords: Exchange rate, inflation, VAR model, CPI, price of the BRENT barrel.
Volume 11, Issue 2, November 2014, Pages 363–370
Moulay El Mehdi Falloul1
1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
The objective of this paper is to examine empirically the pass-through of the exchange rate changes on the domestic prices. In order to take into account of bi-directional effects, as well as other macroeconomic factors, between domestic inflation and exchange rate changes, a vector autoregression (VAR) analysis is used, with four variables that are: the oil BRENT price, nominal effective exchange rate, consumer price index and the output gap. Empirical findings shows that innovations on the exchange rate cause a similar response on the consumer price index (CPI), also the consumer price index is influenced by the price of the BRENT barrel.
Author Keywords: Exchange rate, inflation, VAR model, CPI, price of the BRENT barrel.
Abstract: (french)
L'objectif de ce papier est d'examiner empiriquement la réaction des prix domestiques à cette variation du taux de change. Afin de prendre en compte les effets réciproques entre inflation domestique et variation du taux de change, ainsi que les effets des autres variables, nous adopterons une démarche en termes du modèle VAR avec quatre variables à savoir, le prix du baril Brent, le taux de change effectif nominal, l'indice des prix à la consommation et l'out put gap . Les résultats empiriques que les innovations sur le taux de change entraînent une réponse similaire sur l'indice des prix à la consommation (IPC), par ailleurs l'indice des prix à la consommation est influencé par le prix du baril BRENT.
Author Keywords: Taux de change, inflation, modèle VAR, IPC, prix du baril BRENT.
How to Cite this Article
Moulay El Mehdi Falloul, “Exchange rate pass-through and inflation in Morocco: A VAR model analysis,” International Journal of Innovation and Scientific Research, vol. 11, no. 2, pp. 363–370, November 2014.
