Exchange Rate Pass-Through, Inflation and Monetary Policy in Egypt

June 3, 2022
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This research examines the exchange rate pass-through in Egypt from 2005 to 2018, using nine endogenous variable Vector Auto-regressive Models (VAR); it estimates the degree and the size of exchange rate pass-through to domestic prices.

In addition, it uses a reduced two-dimensional VAR to estimate once for the relation between inflation (CPI) and money supply (M2) and once for the relation between inflation (CPI) and imports, along with Granger causality test to investigate causality between two variables.

Exchange Rate Pass-Through, Inflation and Monetary Policy in Egypt
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