Exchange Rate Pass-Through Estimates For Sukuk Issuing Countries
The aim of the study is to estimate the degree of import and consumer prices exchange rate pass-through for sukuk issuing OIC member countries. Exchange rate pass-through is estimated based on recursive vector autoregresion (VAR) model. Data are yearly covering the period 1970-2010 and are sourced f...
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| Main Authors: | , |
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| Format: | Conference Paper |
| Language: | en_US |
| Published: |
Elsevier Science Bv
2015
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| Subjects: | |
| Online Access: | http://ddms.usim.edu.my/handle/123456789/8948 |
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| Summary: | The aim of the study is to estimate the degree of import and consumer prices exchange rate pass-through for sukuk issuing OIC member countries. Exchange rate pass-through is estimated based on recursive vector autoregresion (VAR) model. Data are yearly covering the period 1970-2010 and are sourced from International Financial Statistics and SESRIC database. The findings indicate that import and consumer prices pass-through increases in the long horizon in the case of Bahrain and Saudi Arabia. Other countries reported low degree of both import and consumer prices pass-through with no discernible patterns. Policymakers and investors might benefits from the findings since pass-through estimates indicate inflation and exchange rate risk exposure particularly for intra-OIC cross-border sukuk issuance. (C) 2013 The Authors. Published by Elsevier B.V. |
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