Abstract
This study analyzes the impact of short- and long-term exchange rate fluctuations in Morocco. The purpose of this paper is to study the shocks transmission of exchange rates variations to prices index known as exchange rate pass-through. The empirical results of the quarterly data between 2000 and 2018 revealed that the pass-through of the exchange rate in Morocco is quite important, but incomplete and delayed in three categories of price index: consumer price index, Imports price Index and Industrial production price Index.
 
 JEL: G15, G17, C51, C52
 
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Highlights
Exchange rate pass-through represents the percentage of variance in domestic price changes attributed to a certain percentage related to exchange rate fluctuations
The results indicate that the size and speed of the ERPT varies considerably from one empirical context of studies to another depending on country specific characteristics and timeframe
The results found through this work will be compared to others belonging to different contexts: Anh et al (2018), in a study concerning the pass-through to consumer prices in Vietnam, by using the structural vector autoregressive model (SVAR) approach found an incomplete pass through from exchange rate to aggregated inflation that occurs within two quarters, the magnitude of the passthrough varies across sub-components, essentially in housing and construction materials as well as food and food stuff
Summary
Exchange rate pass-through represents the percentage of variance in domestic price changes attributed to a certain percentage related to exchange rate fluctuations. Ca'Zorzi et al (2007) and Aliyu et al (2009) confirmed that exchange rate pass-through is higher in developing and emerging countries than in developed countries. Exchange rate pass-through represents the percentage of variance in domestic price changes attributed to a certain percentage related to exchange rate fluctuations. Ca'Zorzi et al (2007) and Aliyu et al (2009) confirmed that exchange rate pass-through is higher in developing and emerging countries than in developed countries. Some famous empirical studies have found the opposite, Frankel et al (2005) fund that it is important to measure the response of domestic prices to the nominal exchange rate, due to its important implications for monetary policy. El Amri Youness, Abdelhamid El Bouhadi, Mimoun Benali EXCHANGE RATE PASS-THROUGH IN MOROCCO: A STRUCTURAL VAR APPROACH impact of exchange rate changes on domestic price index, especially consumer price index depends on openness, inflation and credibility of monetary policy
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