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Balcilar, Mehmet; Roubaud, David; Usman, Ojonugwa; Wohar, Mark E.
Energy economics, 06/2021, Letnik: 98Journal Article
In this paper, we test for the period-specific and regime-dependent exchange rate and oil price pass-through (EROPPT) for the BRICS countries using monthly frequency data. To this end, we extend the Diebold-Yilmaz (DY) spillover index to nonlinear settings based on the vector smooth transition autoregressive (STVAR) model. The results suggest that changes in the exchange rate and oil price of different magnitudes have asymmetric effects between the lower and upper regimes of the period-specific and regime-dependent pass-through. The results further show that the pass-through effects are stronger during periods the BRICS economies have completely adjusted to a specific regime than periods in which the economies only partially adjusted. Furthermore, our findings show considerable evidence of a higher pass-through when nonlinearity is captured. Overall, these findings provide macroeconomic insights for the monetary policymakers. •Tests for nonlinear exchange rate and oil price pass-through for BRICS countries.•Extend the Diebold-Yilmaz spillover index to nonlinear settings.•Find asymmetric exchange rate and oil price pass-through effects.•Considerable evidence of higher pass-through is found when nonlinearity is captured.•Findings provide macroeconomic insights for the monetary authorities.
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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