Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis

Alexander Mihailov ()

International Journal of Finance & Economics, 2009, vol. 14, issue 4, 346-377

Abstract: This paper compares exchange rate pass-through to 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 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 to import prices has declined in the 1990s relative to the 1980s, pass-through to export prices remains country-specific and pass-through to consumer prices is nowadays negligible in all three economies we considered. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2009
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Related works:
Working Paper: The Empirical Range of Pass-Through in US, German and Japanese Macrodata (2004)
Working Paper: Exchange Rate Pass-Through on Prices in Macrodata: A Comparative Sensitivity Analysis (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:14:y:2009:i:4:p:346-377

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DOI: 10.1002/ijfe.376

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