Exchange Rate Pass-Through Effect

Student: Dayana Kazangapova

Educational Programme: Economic Analysis (Master)

Year of Graduation: 2024

This study examines the impact of exchange rate fluctuations on consumer prices in Kazakhstan in the period from Q1 2020 to Q4 2023. In addition, the study examines macroeconomic variables, including the level of inflation and exchange rate volatility, to determine their role in determining the degree of pass-through effect. The cointegration tests confirm the absence of a long-term relationship between the consumer price index, the exchange rate, gross domestic product in Kazakhstan and the average oil price of the three main benchmarks: West Texas Intermediate, Global Brent and Brent Dubai. Therefore, instead of using a vector error correction model, a vector autoregression model is used, taking into account the appropriate order of variables and lags.

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