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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.