State-Dependent Exchange Rate Pass-Through

Yan Carriere-Swallow, Melih Firat, Davide Furceri and Jiménez, Daniel
Authors registered in the RePEc Author Service: Daniel Jiménez

No 19325, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 is significantly larger during periods of elevated uncertainty and when inflation is high. 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 (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2024-08
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Related works:
Working Paper: State-Dependent Exchange Rate Pass-Through (2023)
Working Paper: State-Dependent Exchange Rate Pass-Through (2023)
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