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The Speed of Exchange Rate Pass-Through

Barthélémy Bonadio, Andreas Fischer () and Philip Sauré ()

Journal of the European Economic Association, 2020, vol. 18, issue 1, 506-538

Abstract: On January 15, 2015, the Swiss National Bank discontinued its minimum exchange rate policy of 1 euro against 1.2 Swiss francs. This policy change resulted in a sharp, unanticipated, and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the pass-through of this unusually clean exchange rate shock into import unit values at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euros, the pass-through is immediate and complete. Second, for goods invoiced in Swiss francs, the pass-through is partial and exceptionally fast: beginning on the second working day after the exchange rate shock, the medium-run pass-through is reached after 12 working days.

Date: 2020
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Related works:
Working Paper: The speed of exchange rate pass-through (2018) Downloads
Working Paper: The speed of the exchange rate pass-through (2016) Downloads
Working Paper: The speed of exchange rate pass-through (2016) Downloads
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