Exchange Rate Pass-through to Import Prices, and Monetary Policy in South Africa
研究了1980-2009年南非汇率变动对月度进口价格指数的传导效应，发现一年内传导约50%，六个月约30%，长期约55%，且通胀目标制下传导速度减慢，汇率波动大时传导减弱，存在不对称性。
Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy responses. This article examines exchange rate pass-through to the monthly import price index in South Africa during 1980–2009. Short-horizon pass-through estimates are calculated using both single equation equilibrium correction models and systems (Johansen) models, controlling for both domestic and foreign costs. Average pass-through is incomplete at about 50 per cent within a year and 30 per cent in six months, and in the long-run, from the Johansen analysis including feedback effects, is about 55 per cent. There is evidence of slower pass-through under inflation targeting; pass-through is found to decline with recent exchange rate volatility and there is evidence for asymmetry, with greater pass-through occurring for small appreciations.