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Title: Exchange rate pass-through for selected Asian economies
Authors: Toh, M.-H. 
Ho, H.-J.
Keywords: Asian economies
Error correction model
Exchange rate pass-through
Pricing to market
Issue Date: 2001
Citation: Toh, M.-H.,Ho, H.-J. (2001). Exchange rate pass-through for selected Asian economies. Singapore Economic Review 46 (2) : 247-273. ScholarBank@NUS Repository.
Abstract: This paper investigates the degree of exchange rate pass-through for the selected Asian countries namely Malaysia, Thailand, Taiwan, and Singapore. Unlike past studies, this paper focuses on small open economies and includes exports of primary commodities in the investigation. We utilize cointegration techniques based on Engle and Granger (1987) and Johansen and Juselius (1990), and error correction modeling, to provide a more robust and rigorous investigation of the long run and short run pass-through of exchange rates. It is found that, in general, the degree of pass-through is high, although there is a small extent of pricing to market found for all countries. For Malaysia, the degree of pricing to market found suggests that there is intense competition in the export industries. In the case of Thailand, there is almost complete pass-through and this conforms to our a priori expectations. In the case of Singapore and Taiwan, we detect a higher degree of pass-through compared to past studies. For a country, the high degree of pass-through will support the adoption of more flexible exchange rate oriented monetary policies, and for firms it will reveal the limits of their price setting behavior amidst international competition.
Source Title: Singapore Economic Review
ISSN: 02175908
DOI: 10.1142/S0217590801000358
Appears in Collections:Staff Publications

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