Master of Science in Economics
Department of Economics
Date of Award
Dr. Adnan Haider
Dr. Zulfiqar Haider
Committee Member 1
Dr. Adnan Haider, Institute of Business Administration, Karachi
Committee Member 2
Dr. Zulfiqar Haider, Institute of Business Administration, Karachi
This Study analyzes various aspects Of exchange rate pass through (ERPT) to consumer Prices in Pakistan by using monthly data from April 1991 to December 2016. It measures the magnitude of ERPT With recursive VAR model. The impact of sharp adjustments in exchange rate is also evaluated by incorporating dummy variables with the same empirical method. it also assesses the changes in pass through coefficient by using relatively more ﬂexible empirical method Time Varying Parameters VAR (TVP-VAR) model. Results show that: (I). The magnitude of ERPT estimated from the recursive VAR tends to be low when sharp exchange rate adjustments are not speciﬁcally accounted for, however, when these adjustments are incorporated the coefficient increase significantly. (2). Spilt sample analysis with VAR models indicates that the ERPT was relatively higher between 2002 and 2008 due to increased foreign exchange inflows and relatively stable exchange rates phase during that period. Time varying analysis of ERPT suggests that the pass through magnitude varies over time in case of Pakistan. It was higher during February 2007 due to stable exchange rates while lower during March 1996.
Zahid, M. (2016). Exchange rate pass through to consumer price: a TVP VAR analysis for Pakistan (Unpublished master's thesis). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/etd/42
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