Asymmetric Exchange-Rate Pass-Through to Consumer Prices: Short-Run and Long-Run Evidence in Cambodia

This study examines asymmetric exchange-rate pass-through to consumer prices and evaluates whether currency depreciation and appreciation exert differential effects on inflation. A nonlinear autoregressive distributed lag (NARDL) framework is employed to distinguish between positive and negative exchange-rate movements while controlling for broad money and international oil prices. The Akaike Information Criterion identifies a NARDL(2, 0, 1, 1, 1) specification, and diagnostic and stability tests indicate no evidence of serial correlation, heteroskedasticity, residual non-normality, or parameter instability. The results reveal a stable long-run relationship among consumer prices, exchange rates, broad money, and oil prices. The error-correction term is negative and statistically significant (−0.053, p < 0.001), indicating that approximately 5.3% of disequilibrium is corrected each month. The long-run estimates provide strong evidence of asymmetric exchange-rate pass-through: a 1% currency depreciation is associated with an approximately 3.55% increase in consumer prices, whereas a 1% appreciation is associated with only a 0.18% decline. The Wald test rejects long-run symmetry (F = 16.791, p < 0.001). Significant short-run exchange-rate effects are also observed, while broad money and oil prices exert positive inflationary effects in both the short and long run. These findings demonstrate that exchange-rate pass-through is nonlinear and direction dependent, with depreciation generating substantially stronger inflationary effects than appreciation. The results underscore the importance of incorporating asymmetric exchange-rate dynamics, monetary conditions, and external cost pressures into inflation assessment and macroeconomic policy formulation.