Download المـرســـى، في 11 نـوفمبــر 2000

Ecole Polytechnique de Tunisie
Université 7 Novembre à Carthage
SEMINAIRE (MASE)
Modélisation et Analyse Statistique et Economique
The phenomenon of Exchange rate Pass-through in Tunisia
Lilia Trabelsi Masmoudi
Ecole Supérieure de la Statistique et de l’Analyse de l’Information
& LIM (groupe MES)-Ecole Polytechnique de Tunisie
Résumé:
The impact of exchange rate movements on prices is far from being a new question in the
international macroeconomics literature. This phenomenon called Exchange rate pass-through was
the purpose of several theoretical and empirical studies because it’s critical from a policy
perspective. In fact, it relates doubly to the appropriate monetary policy and the appropriate
exchange rate policy of an economy. However, this recent empirical literature about the passthrough into import prices has focused specially on industrialized countries. It’s only now that a
few studies on exchange rate pass-through have been done for developing countries. The result
obtained are mitigated and do not confirm the intuition suggesting that this phenomenon of passthrough will be complete or at least high for the developing countries.
This paper contributes to the analysis of the exchange rate pass-through into import prices in a
small open developing country (Tunisia) during the period (2000-2007). The idea is to explore if
Tunisia is a ‘price taker’ i.e. a country with a great sensitivity of import prices to exchange rate
movements. Such a phenomenon of pass-through constitutes a significant determinant for the
strategic decisions of the monetary authorities of a country like Tunisia. This country which
regarded the price stability as the general mission of the central bank and which adopts , since
several years, a policy of depreciation of the exchange rate in order to improve competitiveness of
the country on the international market. To tackle this problem, we used, first, the Vectorial autoregression methodology ‘VECM’ and then, we consider the traditional approach which assumes
exogenous exchange rate movements through the correlation between exchange rate and import
prices. We highlighted, with the two methods, the strong and the speed process of transmission of
the variations of exchange rate at the import prices in Tunisia.
Key words: Exchange rate pass-through, inflation, exchange rate, developing country, Tunisia,
economic fluctuations, VECM methodology, Engel & Granger methodology.
JEL clasification : C51, E31, E52, F33
Vendredi 12 février à 15 h à l’Ecole Polytechnique de Tunisie
Pour toute information, contacter Rim Lahmandi-Ayed, LIM(groupe MES).
E-mail : [email protected]
Tel : 71774 611, poste 278.