Exchange rate pass-through and monetary policy in transition economy : evidence from Tunisia with a disaggregated VAR analysis

Abstract

Relying on monthly and quarterly data, from 2000 to 2015, this paper keeps up with SVAR modeling and price chain study, through a disaggregate approach that aims at analyzing the exchange rate pass-through (ERPT) on the various components of consumer price index (CPI). To our knowledge, this study is the first attempt at ERPT estimation through a disaggregate approach for the CPI. The results show that the total ERPT is about 20%. Specifically, 10% of PT on the administered prices after 2011 revolution date (6% of PT for food administered prices and 7% of PT for energy prices), which contradicts the prevailing theory that admits the inexistence of PT for administered prices. Our findings confirm the importance of a disaggregate analysis for studying ERPT to contain inflation.