Exchange Rate Pass-Through in Mongolia

• Název v anglickém jazyce: Exchange Rate Pass-Through in Mongolia
• Klíčová slova: monetary policy, transmission, exchange rate pass-through
• Klíčová slova anglicky: monetary policy, transmission, exchange rate pass-through
• Akademický rok vypsání: 2012/2013
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: doc. Mgr. Tomáš Holub, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 09.05.2013
• Datum zadání: 24.06.2013
• Datum a čas obhajoby: 24.06.2014 00:00
• Místo konání obhajoby: ies
• Datum odevzdání elektronické podoby: 19.05.2014
• Datum proběhlé obhajoby: 24.06.2014
• Oponenti: Ing. David Kocourek

Seznam odborné literatury

1. Michal Franta, Roman Horváth, Marek Rusnák; Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic, 2011 Czech National Bank Working paper series 13
2. Dubravko Mihaljek and Marc Klau; Exchange rate pass-through in emerging market economies: What has changed and why? BIS Papers No35
3. David O. Cushman, Tao Zha; Identifying Monetary Policy in a Small Open Economy Under Flexible Exchange Rates, 1995, Federal Reserve Bank of Atlanta Working Paper 95-7
4. Jeevan Kumar Khundrakpam; Economic reforms and exchange rate pass-through to domestic prices in India, Feb 2007, Bank for International Settlements BIS Working papers #225
5. Oxana BABECKÁ-KUCHARCUKOVÁ, Transmission of Exchange rate shocks into Domestic Inflation: The Case of the Czech Republic, 2009, Czech Journal of Economics and Finance, No2 59
6. Toshitaka Sekine; Time-varying exchange rate pass-through: experiences of some industrial countries, 2006, BIS Working papers No202

Předběžná náplň práce v anglickém jazyce

My thesis will assess the monetary policy transmission through exchange rate in small open economies. Exchange rates are key variables in small open economies because of relatively high dependencies on international trade. Volatility in exchange rate influences the prices of not only imported goods but also cost of domestic finished goods and services through affecting imported inputs. It also affects price competitiveness of the economy, and thus the economic activity.

Mongolia is an import oriented small open economy that has a relatively high degree of openness to international trade. Inflation is imported from external price shocks due to a high share of imported products and inputs in Mongolia.

Using the case of Mongolia, we will identify the dynamic responses of consumer to the exchange rate volatility. Particularly, we will emphasize on the importance of the exchange rate channel as a transmission mechanism. We will determine the degree of exchange rate pass-through which is the important link for the transmission mechanism between exchange rate and inflation. Moreover, we will assess the asymmetry effect of exchange rate pass through to consumer prices.

I am going to use data from the National Statistical Report of Mongolia, reports of Bank of Mongolia.

Hypotheses:
1. Exchange rate pass-through to domestic prices is high and incomplete in Mongolia
2. There is an asymmetric effect of exchange rate change on consumer price inflation (ER appreciation/depreciation).
3. There is non-linear effect of exchange rate with respect to small and large absolute changes

Methodology:
We will employ a VAR model, which will allow us to measure exchange rate pass-through with an impulse response to a given shock and its magnitute and dynamics, and nonlinear model with dummy variables for measuring asymmetry effect of passthrough.

We will construct the econometric model according to the monetary transmission mechanism theory and related literatures.

Outline:
1. Introduction
2. Literature review
3. Exchange rate regime in Mongolia
4. Inflation rate in Mongolia
5. Model definition and Data Description
a) The Data
b) Defining the model
c) Estimation
6. EmpiricalResults
7. Conclusion
8. Appendix