Monthly pass-through ratios

Marlene Amstad and Andreas Fischer ()

Journal of Economic Dynamics and Control, 2010, vol. 34, issue 7, 1202-1213

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, 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 innovation for import prices. We apply our identification procedure to Swiss prices and find strong evidence that the median of the monthly pass-through ratio is around 0.3. Tests show that standard assumptions of non-real time data and limited information breath are critical for the pass-through estimates.

Keywords: Common; factors; Pass-through; Real-time; data (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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Working Paper: Monthly pass-through ratios (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:34:y:2010:i:7:p:1202-1213

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