Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time-varying pass-through coefficients

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dc.authoridAkdeniz, Coskun/0000-0002-3973-754X
dc.authoridCatik, Abdurrahman Nazif/0000-0001-9247-5668
dc.authorscopusid57200762540
dc.authorscopusid36458196600
dc.authorscopusid55898411800
dc.authorwosidAkdeniz, Coşkun/AAQ-8119-2020
dc.contributor.authorAkdeniz, Coskun
dc.contributor.authorCatik, Abdurrahman Nazif
dc.contributor.authorBalli, Esra
dc.date.accessioned2023-01-12T20:02:37Z
dc.date.available2023-01-12T20:02:37Z
dc.date.issued2022
dc.departmentN/A/Departmenten_US
dc.description.abstractThis paper estimates the exchange rate and oil price pass-through to South African domestic prices (ERPT and OPPT, respectively). This study adopts a novel approach to compute pass-through coefficients along the pricing channel using the time-varying responses of the time-varying parameter (TVP)-VAR model. Our findings show that both ERPT and OPPT are incomplete, despite varying responses to local and global economic events that cause fluctuations in the exchange rate and oil prices. The ERPT coefficients have peaked in 1998 and 2001, coinciding with the crisis that caused the excessive depreciation of the domestic currency. The OPPT coefficients, on the other hand, reach their maximum effect during the 2008 global financial crisis. Our findings do not reveal a significant decline in ERPT compared with the 1980s. In contrast to a significant first-stage effect, the direct ERPT and OPPT coefficients are found to be insignificant. The findings also show that direct OPPT to consumer fuel prices is significantly higher than that of import prices.en_US
dc.identifier.doi10.1111/saje.12327
dc.identifier.endpage328en_US
dc.identifier.issn0038-2280
dc.identifier.issn1813-6982
dc.identifier.issn0038-2280en_US
dc.identifier.issn1813-6982en_US
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85135047763en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage301en_US
dc.identifier.urihttps://doi.org/10.1111/saje.12327
dc.identifier.urihttps://hdl.handle.net/11454/77606
dc.identifier.volume90en_US
dc.identifier.wosWOS:000827792200001en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.relation.ispartofSouth African Journal Of Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectexchange rate pass-throughen_US
dc.subjectoil price pass-throughen_US
dc.subjectSouth Africaen_US
dc.subjectTVP-VARen_US
dc.subjectMonetary-Policyen_US
dc.subjectImport Pricesen_US
dc.subjectConsumer Pricesen_US
dc.subjectDomestic Pricesen_US
dc.subjectMacroeconomyen_US
dc.subjectPerspectiveen_US
dc.subjectCountriesen_US
dc.subjectImpacten_US
dc.subjectModelen_US
dc.titleInflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time-varying pass-through coefficientsen_US
dc.typeArticleen_US

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