Working Paper

Exchange Rate and Inflation Dynamics in Zambia

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collection.link.5
https://openknowledge.worldbank.org/handle/10986/9
collection.name.5
Policy Research Working Papers
dc.contributor.author
Roger, Lionel
dc.contributor.author
Smith, Gregory
dc.contributor.author
Morrissey, Oliver
dc.date.accessioned
2017-07-19T15:42:13Z
dc.date.available
2017-07-19T15:42:13Z
dc.date.issued
2017-06
dc.description.abstract
This paper investigates the dynamics between the exchange rate and consumer price inflation in Zambia. The analysis uses a structural vector autoregression, with quarterly data for 1995-2014 and a combination of short-run sign- and zero-restrictions to identify relevant global and domestic shocks. The findings suggest that the pass-through of exchange rates to consumer prices depends greatly on the shock that originally caused the exchange rate to fluctuate. Although the price of copper is the most important driver of the exchange rate, the fluctuations it caused are associated with a low pass-through of only about 7 percent. Exchange rate fluctuations caused by monetary shocks come with a pass-through of up to 25 percent. Food inflation is equally affected by genuine exchange rate shocks, but appears more reactive to changes in copper prices or the money supply. Historical variance decomposition shows that, across periods, the main drivers of exchange rate fluctuations varied substantially.
en
dc.identifier.uri
http://hdl.handle.net/10986/27631
dc.language
English
dc.language.iso
en_US
dc.publisher
World Bank, Washington, DC
dc.relation.ispartofseries
Policy Research Working Paper;No. 8128
dc.rights
CC BY 3.0 IGO
dc.rights.holder
World Bank
dc.rights.uri
http://creativecommons.org/licenses/by/3.0/igo
dc.subject
INFLATION
dc.subject
EXCHANGE RATES
dc.subject
COPPER PRICE
dc.title
Exchange Rate and Inflation Dynamics in Zambia
en
dc.type
Working Paper
en
okr.date.disclosure
2017-06-28
okr.doctype
Publications & Research
okr.doctype
Publications & Research :: Policy Research Working Paper
okr.docurl
http://documents.worldbank.org/curated/en/393871498656454681/Exchange-rate-and-inflation-dynamics-in-Zambia
okr.googlescholar.linkpresent
yes
okr.identifier.doi
10.1596/1813-9450-8128
okr.identifier.externaldocumentum
090224b084d49419_1_0
okr.identifier.internaldocumentum
27680175
okr.identifier.report
WPS8128
okr.imported
true
okr.language.supported
en
okr.pdfurl
http://documents.worldbank.org/curated/en/393871498656454681/pdf/WPS8128.pdf
en
okr.region.administrative
Africa
okr.region.country
Zambia
okr.topic
Finance and Financial Sector Development :: Currencies and Exchange Rates
okr.topic
Macroeconomics and Economic Growth :: Commodities
okr.topic
Macroeconomics and Economic Growth :: Economic Conditions and Volatility
okr.topic
Macroeconomics and Economic Growth :: Fiscal & Monetary Policy
okr.topic
Macroeconomics and Economic Growth :: Inflation
okr.unit
Macroeconomics and Fiscal Management Global Practice Group

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