Exchange Rate and Inflation Dynamics in Zambia
This paper investigates the dynamics between the exchange rate and consumer price inflation in Zambia. The analysis uses a structural vector autoregression, with quarterly data for 1995-2014 and a combination of short-run sign- and zero-restriction...
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World Bank, Washington, DC
2017
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| Online Access: | http://documents.worldbank.org/curated/en/393871498656454681/Exchange-rate-and-inflation-dynamics-in-Zambia http://hdl.handle.net/10986/27631 |
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okr-10986-276312021-06-08T14:42:47Z Exchange Rate and Inflation Dynamics in Zambia Roger, Lionel Smith, Gregory Morrissey, Oliver INFLATION EXCHANGE RATES COPPER PRICE This paper investigates the dynamics between the exchange rate and consumer price inflation in Zambia. The analysis uses a structural vector autoregression, with quarterly data for 1995-2014 and a combination of short-run sign- and zero-restrictions to identify relevant global and domestic shocks. The findings suggest that the pass-through of exchange rates to consumer prices depends greatly on the shock that originally caused the exchange rate to fluctuate. Although the price of copper is the most important driver of the exchange rate, the fluctuations it caused are associated with a low pass-through of only about 7 percent. Exchange rate fluctuations caused by monetary shocks come with a pass-through of up to 25 percent. Food inflation is equally affected by genuine exchange rate shocks, but appears more reactive to changes in copper prices or the money supply. Historical variance decomposition shows that, across periods, the main drivers of exchange rate fluctuations varied substantially. 2017-07-19T15:42:13Z 2017-07-19T15:42:13Z 2017-06 Working Paper http://documents.worldbank.org/curated/en/393871498656454681/Exchange-rate-and-inflation-dynamics-in-Zambia http://hdl.handle.net/10986/27631 English en_US Policy Research Working Paper;No. 8128 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper Africa Zambia |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
INFLATION EXCHANGE RATES COPPER PRICE |
| spellingShingle |
INFLATION EXCHANGE RATES COPPER PRICE Roger, Lionel Smith, Gregory Morrissey, Oliver Exchange Rate and Inflation Dynamics in Zambia |
| geographic_facet |
Africa Zambia |
| relation |
Policy Research Working Paper;No. 8128 |
| description |
This paper investigates the dynamics
between the exchange rate and consumer price inflation in
Zambia. The analysis uses a structural vector
autoregression, with quarterly data for 1995-2014 and a
combination of short-run sign- and zero-restrictions to
identify relevant global and domestic shocks. The findings
suggest that the pass-through of exchange rates to consumer
prices depends greatly on the shock that originally caused
the exchange rate to fluctuate. Although the price of copper
is the most important driver of the exchange rate, the
fluctuations it caused are associated with a low
pass-through of only about 7 percent. Exchange rate
fluctuations caused by monetary shocks come with a
pass-through of up to 25 percent. Food inflation is equally
affected by genuine exchange rate shocks, but appears more
reactive to changes in copper prices or the money supply.
Historical variance decomposition shows that, across
periods, the main drivers of exchange rate fluctuations
varied substantially. |
| format |
Working Paper |
| author |
Roger, Lionel Smith, Gregory Morrissey, Oliver |
| author_facet |
Roger, Lionel Smith, Gregory Morrissey, Oliver |
| author_sort |
Roger, Lionel |
| title |
Exchange Rate and Inflation Dynamics in Zambia |
| title_short |
Exchange Rate and Inflation Dynamics in Zambia |
| title_full |
Exchange Rate and Inflation Dynamics in Zambia |
| title_fullStr |
Exchange Rate and Inflation Dynamics in Zambia |
| title_full_unstemmed |
Exchange Rate and Inflation Dynamics in Zambia |
| title_sort |
exchange rate and inflation dynamics in zambia |
| publisher |
World Bank, Washington, DC |
| publishDate |
2017 |
| url |
http://documents.worldbank.org/curated/en/393871498656454681/Exchange-rate-and-inflation-dynamics-in-Zambia http://hdl.handle.net/10986/27631 |
| _version_ |
1764465596864397312 |