State-Dependent Exchange Rate Pass-Through

Yan Carrière-Swallow, Melih Firat, Davide Furceri and Daniel Jiménez

No 2023/086, IMF Working Papers from International Monetary Fund

Abstract: We estimate how the rate of pass-through from the exchange rate to domestic prices varies across states of the economy and depending on the shocks that drive fluctuations in the exchange rate. We confirm several results from the literature and uncover new facts. Drawing on the experience of a large sample of advanced and emerging market economies over the past 30 years, we document that exchange rate pass-through significantly larger during periods of high inflation and elevated uncertainty. Using a novel identification strategy, we also show that pass-through is higher when exchange rate fluctuations are driven by U.S. monetary policy.

Keywords: Exchange rate; pass-through; inflation; state-dependence; inflation uncertainty; pass-through from the exchange rate; rate pass-through; pass-through coefficient; rate of pass-through; Exchange rate pass-through; Exchange rates; Exchange rate adjustments; Exchange rate arrangements; Global (search for similar items in EconPapers)
Pages: 83
Date: 2023-04-28
New Economics Papers: this item is included in nep-his, nep-mon and nep-opm
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: State-Dependent Exchange Rate Pass-Through (2024)
Working Paper: State-Dependent Exchange Rate Pass-Through (2023)
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