Columbia International Affairs Online: Working Papers

CIAO DATE: 10/2009

Macroeconomic Determinants of Exchange Rate Pass-Through in India

Amit Ghosh, Ramkishen S. Rajan

April 2007

Department of Economics and Business, Colorado College

Abstract

This paper examines the evolution of exchange rate pass-through (ERPT) into India's consumer price index (CPI) at the aggregate level over the period 1980Q1-2006Q4. It also investigates whether the extent of exchange rate pass-through is impacted by common macro fundamentals such as inflation and exchange rate volatility. Finally, the paper also tests for possible asymmetries of ERPT during periods of depreciation versus appreciation.