Monthly pass-through ratios

Marlene Amstad and Andreas Fischer ()

No 26, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper estimates monthly pass-through ratios from import prices to consumer prices in real time. Conventional time series methods impose restrictions to generate exogenous shocks on exchange rates or import prices when estimating pass-through coefficients. Instead, a natural experiment based on data releases defines our shock to foreign prices. Our estimation strategy follows an event-study approach based on monthly releases in import prices. Projections from a dynamic common factor model with daily panels before and after monthly releases of import prices define the shock. This information shock allows us to recover a monthly pass-through ratio. We apply our identification procedure to Swiss prices and find strong evidence that the monthly pass-through ratio is around 0.3. Our real-time estimates yield higher pass-through ratios than time series estimates.

JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac, nep-mon and nep-opm
Note: Published as: Amstad, Marlene and Andreas M. Fischer (2010), "Monthly Pass-Through Ratios," Journal of Economic Dynamics and Control 34 (7): 1202-1213.
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Citations: View citations in EconPapers (2)

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Journal Article: Monthly pass-through ratios (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:26

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