Exchange Rate and Inflation Dynamics in Zambia

Roger, Lionel ; Smith, Gregory ; Morrissey, Oliver

World Bank, Washington, DC

关键词: INFLATION;    EXCHANGE RATES;    COPPER PRICE;   

DOI  :  10.1596/1813-9450-8128
RP-ID  :  WPS8128

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper investigates the dynamicsbetween the exchange rate and consumer price inflation inZambia. The analysis uses a structural vectorautoregression, with quarterly data for 1995-2014 and acombination of short-run sign- and zero-restrictions toidentify relevant global and domestic shocks. The findingssuggest that the pass-through of exchange rates to consumerprices depends greatly on the shock that originally causedthe exchange rate to fluctuate. Although the price of copperis the most important driver of the exchange rate, thefluctuations it caused are associated with a lowpass-through of only about 7 percent. Exchange ratefluctuations caused by monetary shocks come with apass-through of up to 25 percent. Food inflation is equallyaffected by genuine exchange rate shocks, but appears morereactive to changes in copper prices or the money supply.Historical variance decomposition shows that, acrossperiods, the main drivers of exchange rate fluctuationsvaried substantially.