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Exchange rate pass-through in Tunisia: evidence from a time varying parameter model

Author

Listed:
  • Ben Ali Samir

    (University of Carthage, Tunisia)

  • Jardak Tarek

    (Central Bank of Tunisia, Tunisia)

Abstract
This paper highlights the exchange rate pass-through dynamics in Tunisia using a time-varying parameters model. The results show that contrary to what has been generally observed in emerging and transitional economies, pass-through has been increasing steadily during the last decade. This acceleration is due to the implemented exchange rate policy, the absence of credible nominal anchor for monetary policy and the efforts made to reduce subsidies on administered products. Classification-JEL : E31, E52, F31.

Suggested Citation

  • Ben Ali Samir & Jardak Tarek, 2014. "Exchange rate pass-through in Tunisia: evidence from a time varying parameter model," Journal of Developing Areas, Tennessee State University, College of Business, vol. 48(1), pages 145-164, January-M.
    • Handle: RePEc:jda:journl:vol.48:year:2014:issue1:pp:145-164
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    Citations

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    Cited by:

    1. Dahem, Ahlem & Siala Guermazi, Fatma, 2016. "Exchange rate Pass-through and Monetary Policy in Transition Economy: Evidence from Tunisia with disaggregated VAR Analysis," MPRA Paper 74179, University Library of Munich, Germany.
    2. Dahem, Ahlem & Skander, Slim & Fatma, Siala Guermazi, 2017. "Time Varying VAR Analysis for Disaggregated Exchange Rate Pass-through in Tunisia," MPRA Paper 79759, University Library of Munich, Germany, revised 2017.
    3. Ahlem Dahem1 & Fatma Siala Guermazi, 2016. "Exchange Rate Pass-through and Monetary Policy in Transition Economy: Evidence from Tunisia with a Disaggregated VAR Analysis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 50-63.
    4. Rodriguez, Gabriel & Castillo B., Paul & Calero, Roberto & Salcedo Cisneros, Rodrigo & Ataurima Arellano, Miguel, 2024. "Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models," Journal of International Money and Finance, Elsevier, vol. 142(C).
    5. Mohamed Ali Chroufa & Nouri Chtourou, 2023. "Asymmetric relationship between exchange rate and inflation in Tunisia: fresh evidence from multiple-threshold NARDL model and Granger quantile causality," SN Business & Economics, Springer, vol. 3(7), pages 1-21, July.

    More about this item

    Keywords

    Exchange rates pass-through; inflation; state-space model; Kalman filter.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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