Exchange-Rate Pass-Through to Consumer-Price Inflation in ASEAN-6: Dynamic and Asymmetric Evidence, 2000–2024
DOI:
https://doi.org/10.65166/2hhk6948Keywords:
exchange-rate pass-through, inflation, ASEAN-6, depreciation, asymmetry, dynamic panel, monetary policyAbstract
This study estimates exchange-rate pass-through (ERPT) to consumer-price inflation in Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Viet Nam over 2000–2024. Annual World Development Indicators data are analyzed using two-way fixed-effects models with country and year effects and Driscoll–Kraay panel-HAC standard errors. Nominal depreciation is measured as the annual log change in the local-currency-per-US-dollar exchange rate. The analysis distinguishes contemporaneous, one-year, and two-year effects, calculates cumulative pass-through, tests depreciation–appreciation asymmetry, and evaluates cross-country coefficient equality. In the baseline specification, a 1% depreciation is associated with approximately a 0.20-percentage-point increase in annual consumer-price inflation. In the distributed-lag model, the contemporaneous coefficient becomes statistically insignificant, while the one-year lag is 0.220 (p<.001) and the two-year lag is 0.095 (p=.035). The cumulative current-to-two-year coefficient is 0.436 (p=.001), indicating that pass-through is predominantly delayed and cumulative. Depreciation also exhibits asymmetric transmission: the depreciation coefficient is 0.361 (p<.001), whereas appreciation is not associated with a statistically significant reduction in inflation; the symmetry restriction is rejected (p=.044). Country-specific coefficients differ numerically, but a joint equality test does not establish statistically significant cross-country heterogeneity (p=.298). Results remain robust to alternative treatment of trade openness and to an inflation-persistence specification. The findings indicate that ASEAN-6 ERPT is best characterized as incomplete, delayed, cumulative, and directionally asymmetric rather than instantaneous and mechanically proportional.
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Copyright (c) 2026 Vince Siores, Dr. Tong Feng, Dr. Ramon George O. Atento (Author)
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