diff --git a/numpyro/compat/infer.py b/numpyro/compat/infer.py
index 5e3442cec..1b179b80c 100644
--- a/numpyro/compat/infer.py
+++ b/numpyro/compat/infer.py
@@ -132,7 +132,7 @@ def step(self, *args, rng_key=None, **kwargs):
         except TypeError as e:
             if 'not a valid JAX type' in str(e):
                 raise TypeError('NumPyro backend requires args, kwargs to be arrays or tuples, '
-                                'dicts of arrays.')
+                                'dicts of arrays.') from e
             else:
                 raise e
         params = jit(super(SVI, self).get_params)(self.svi_state)
diff --git a/numpyro/contrib/funsor/__init__.py b/numpyro/contrib/funsor/__init__.py
index 647017717..e40844ad7 100644
--- a/numpyro/contrib/funsor/__init__.py
+++ b/numpyro/contrib/funsor/__init__.py
@@ -3,11 +3,11 @@
 
 try:
     import funsor
-except ImportError:
+except ImportError as e:
     raise ImportError("Looking like you want to do inference for models with "
                       "discrete latent variables. This is an experimental feature. "
                       "You need to install `funsor` to be able to use this feature. "
-                      "It can be installed with `pip install funsor`.")
+                      "It can be installed with `pip install funsor`.") from e
 
 from numpyro.contrib.funsor.enum_messenger import enum, infer_config, markov, plate, to_data, to_funsor, trace
 from numpyro.contrib.funsor.infer_util import config_enumerate, log_density, plate_to_enum_plate
diff --git a/numpyro/contrib/module.py b/numpyro/contrib/module.py
index e0b795718..9cb7c4258 100644
--- a/numpyro/contrib/module.py
+++ b/numpyro/contrib/module.py
@@ -35,11 +35,11 @@ def flax_module(name, nn_module, *, input_shape=None):
     """
     try:
         import flax  # noqa: F401
-    except ImportError:
+    except ImportError as e:
         raise ImportError("Looking like you want to use flax to declare "
                           "nn modules. This is an experimental feature. "
                           "You need to install `flax` to be able to use this feature. "
-                          "It can be installed with `pip install flax`.")
+                          "It can be installed with `pip install flax`.") from e
     module_key = name + '$params'
     nn_params = numpyro.param(module_key)
     if nn_params is None:
@@ -71,11 +71,11 @@ def haiku_module(name, nn_module, *, input_shape=None):
     """
     try:
         import haiku  # noqa: F401
-    except ImportError:
+    except ImportError as e:
         raise ImportError("Looking like you want to use haiku to declare "
                           "nn modules. This is an experimental feature. "
                           "You need to install `haiku` to be able to use this feature. "
-                          "It can be installed with `pip install dm-haiku`.")
+                          "It can be installed with `pip install dm-haiku`.") from e
 
     module_key = name + '$params'
     nn_params = numpyro.param(module_key)
diff --git a/numpyro/contrib/tfp/__init__.py b/numpyro/contrib/tfp/__init__.py
index ef67892d9..87e269656 100644
--- a/numpyro/contrib/tfp/__init__.py
+++ b/numpyro/contrib/tfp/__init__.py
@@ -3,7 +3,7 @@
 
 try:
     import tensorflow_probability.substrates.jax as tfp  # noqa: F401
-except ImportError:
+except ImportError as e:
     raise ImportError("Looking like your installed tensorflow_probability does not"
                       " support JAX backend. You might try to install the nightly"
-                      " version with: `pip install tfp-nightly`")
+                      " version with: `pip install tfp-nightly`") from e
diff --git a/numpyro/distributions/transforms.py b/numpyro/distributions/transforms.py
index 4541cca9a..4e7be1010 100644
--- a/numpyro/distributions/transforms.py
+++ b/numpyro/distributions/transforms.py
@@ -555,8 +555,8 @@ def register(self, constraint, factory=None):
     def __call__(self, constraint):
         try:
             factory = self._registry[type(constraint)]
-        except KeyError:
-            raise NotImplementedError
+        except KeyError as e:
+            raise NotImplementedError from e
 
         return factory(constraint)
 
diff --git a/numpyro/infer/reparam.py b/numpyro/infer/reparam.py
index 4d94562dd..c17d80289 100644
--- a/numpyro/infer/reparam.py
+++ b/numpyro/infer/reparam.py
@@ -182,10 +182,10 @@ def __init__(self, guide, params):
         self.params = params
         try:
             self.transform = self.guide.get_transform(params)
-        except (NotImplementedError, TypeError):
+        except (NotImplementedError, TypeError) as e:
             raise ValueError("NeuTraReparam only supports guides that implement "
                              "`get_transform` method that does not depend on the "
-                             "model's `*args, **kwargs`")
+                             "model's `*args, **kwargs`") from e
         self._x_unconstrained = {}
 
     def _reparam_config(self, site):