Exchange Rate Pass-Through on Prices in Macrodata: A Comparative Sensitivity Analysis (Revised, November 2005)

No 568, Economics Discussion Papers from University of Essex, Department of Economics

Abstract: The paper compares exchange rate pass-through on aggregate prices in the US, Germany and Japan across a number of dimensions. Building on the empirical approaches in the recent literature, our contribution is to perform a thorough sensitivity analysis of alternative pass-through estimates. We find that the econometric method, data frequency and variable proxy employed matter for the precision of details, yet they often agree on some general trends. Thus, pass-through on import prices has declined in the 1990s relative to the 1980s, pass-through on export prices remains country-specific and pass-through on consumer prices is nowadays negligible in all three economies we consider.

New Economics Papers: this item is included in nep-ifn and nep-mfd
Date: 2003-11-11
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