Exchange rate pass-through into German import prices - a disaggregated perspective

Joscha Beckmann, Ansgar Belke and Florian Verheyen

Applied Economics, 2014, vol. 46, issue 34, 4164-4177

Abstract: This study analyses the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyse data for different product categories, and also cointegration techniques to carefully distinguish between short-run and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, whereas short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors that determine changes in the degree of pass-through, which is especially relevant for policymakers.

Date: 2014
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Working Paper: Exchange Rate Pass-Through into German Import Prices – A Disaggregated Perspective (2013)
Working Paper: Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective (2013)
Working Paper: Exchange rate pass-through into German import prices - a disaggregated perspective (2013)
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DOI: 10.1080/00036846.2014.946184

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