Exchange Rate Pass-Through Estimates For Sukuk Issuing Countries

• Main Authors: Nursilah, Ahmad, Muhamad, Muda
• Format: Conference Paper
• Language: en_US
• Published: Elsevier Science Bv 2015
• Subjects: Sukuk; exchange rate pass-through; inflation; OIC economies
• Online Access: http://ddms.usim.edu.my/handle/123456789/8948
• Institution: Universiti Sains Islam Malaysia

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.