Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL Approach
This paper analyses the US dollar exchange rate pass-through to consumer prices in Ghana from January 1990 to January 2020 using the empirical mode decomposition-based nonlinear autoregressive distributed lags model (EMD-NARDL). This model eliminates the noise component of the underlying data and ca...
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| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2022/9075263 |
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| author | Camara K. Obeng Siaw Frimpong Gilbert K. Amoako Samuel K. Agyei Emmanuel Asafo-Adjei Anokye M. Adam |
| author_facet | Camara K. Obeng Siaw Frimpong Gilbert K. Amoako Samuel K. Agyei Emmanuel Asafo-Adjei Anokye M. Adam |
| author_sort | Camara K. Obeng |
| collection | DOAJ |
| description | This paper analyses the US dollar exchange rate pass-through to consumer prices in Ghana from January 1990 to January 2020 using the empirical mode decomposition-based nonlinear autoregressive distributed lags model (EMD-NARDL). This model eliminates the noise component of the underlying data and captures the short- and long-run nonlinearities. We find evidence of cointegration between denoised series of consumer prices and exchange rate and asymmetric pass-through in both the short- and long-run. Specifically, exchange rate pass-through was found to be in the long-run incomplete in the period of depreciation and statistically zero pass-through in the period of appreciation. In the short-run, the exchange rate pass-through in periods of depreciation is near complete; that is, 81% against 74% in periods of appreciation. We recommend that monetary authorities consistently monitor exchange rate behaviour and maintain efficient exchange rate management policies to ensure stable consumer prices. This could be achieved through proper and timely policy interventions using the available monetary policy tools such as foreign exchange reserves. |
| format | Article |
| id | doaj-art-5ed854bd977d4997b8ba12f049b932bb |
| institution | Kabale University |
| issn | 2314-4785 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-5ed854bd977d4997b8ba12f049b932bb2025-02-03T06:04:53ZengWileyJournal of Mathematics2314-47852022-01-01202210.1155/2022/9075263Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL ApproachCamara K. Obeng0Siaw Frimpong1Gilbert K. Amoako2Samuel K. Agyei3Emmanuel Asafo-Adjei4Anokye M. Adam5Department of Economic StudiesDepartment of FinanceDepartment of Accountancy and Accounting Information SystemDepartment of FinanceDepartment of FinanceDepartment of FinanceThis paper analyses the US dollar exchange rate pass-through to consumer prices in Ghana from January 1990 to January 2020 using the empirical mode decomposition-based nonlinear autoregressive distributed lags model (EMD-NARDL). This model eliminates the noise component of the underlying data and captures the short- and long-run nonlinearities. We find evidence of cointegration between denoised series of consumer prices and exchange rate and asymmetric pass-through in both the short- and long-run. Specifically, exchange rate pass-through was found to be in the long-run incomplete in the period of depreciation and statistically zero pass-through in the period of appreciation. In the short-run, the exchange rate pass-through in periods of depreciation is near complete; that is, 81% against 74% in periods of appreciation. We recommend that monetary authorities consistently monitor exchange rate behaviour and maintain efficient exchange rate management policies to ensure stable consumer prices. This could be achieved through proper and timely policy interventions using the available monetary policy tools such as foreign exchange reserves.http://dx.doi.org/10.1155/2022/9075263 |
| spellingShingle | Camara K. Obeng Siaw Frimpong Gilbert K. Amoako Samuel K. Agyei Emmanuel Asafo-Adjei Anokye M. Adam Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL Approach Journal of Mathematics |
| title | Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL Approach |
| title_full | Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL Approach |
| title_fullStr | Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL Approach |
| title_full_unstemmed | Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL Approach |
| title_short | Asymmetric Exchange Rate Pass-Through to Consumer Prices in Ghana: Evidence from EMD-NARDL Approach |
| title_sort | asymmetric exchange rate pass through to consumer prices in ghana evidence from emd nardl approach |
| url | http://dx.doi.org/10.1155/2022/9075263 |
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