Exchange rate passthrough to domestic prices in some MENA countries

This paper examines the degree of exchange rate pass-through (ERPT) to domestic prices for five MENA countries. Using a cointegrated VAR (vector autoregression) for each country, the ERPT into consumer prices is found to be small in the long run in our sub sample. By analyzing impulse responses derived from the VECM (vector error correction model), we found that the ERPT degree decreases across the different price indices: the pass-through effect is the largest for import prices index, the second for producer prices index and the smallest on consumer prices index.