Exchange Rate Pass-Through into Domestic Prices in Kazakhstan

Abstract

The paper studies the degree of the exchange rate pass-through into domestic prices in Kazakhstan in the period from January 1994 to January 2015. By adopting the vectorautoregression (VAR) approach the study distinguishes the varying degrees of the pass-through into import prices, producer prices, and consumer prices. In the light of the accession of Kazakhstan to the Customs Union and the recent geopolitical situation, the evolution of the exchange rate pass-through is measured by analyzing the change in impulse-response functions (IRFs) before and after economic integration. The main results are as follows: the degree of the pass-through into domestic prices is rather small in Kazakhstan. It tends to be higher for import prices than for producer and consumer prices. The pass-through effect is also observed to be higher after joining the Customs Union than prior to that.