Publication: Exchange Rate Pass-Through Estimates For Sukuk Issuing Countries
Loading...
Date
2013
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Science Bv
Abstract
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.
Description
Keywords
Sukuk, exchange rate pass-through, inflation, OIC economies