Exchange Rate Pass-Through in Kyrgyzstan

Abstract

This paper investigates level of exchange rate pass-through in Kyrgyzstan for the period from January 2000 to July 2017. Two Vector autoregression (VAR) models were applied to estimate the extent of pass-through into consumer and producer prices. Degree of exchange rate passthrough is measured by Impulse Response Functions. The main results of this paper are following: (i) exchange rate pass-through in Kyrgyzstan is incomplete, however, is relatively high; (ii) it tends to be higher for consumer prices than for producer prices; (iii) 1% depreciation of national currency leads to the growth in inflation up to 0.5% for consumer prices and up to 0.3% for producer prices and these responses take place during 14 months.