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What can Big Data tell us about the passthrough of big exchange rate changes?

John Lewis

No 579, Bank of England working papers from Bank of England

Abstract: Using a large data set of import volumes and values for goods imports from around 50 trading partners, and 3,000 goods type, this paper finds that the micro level, passthrough is non-linear in the exchange rate. The passthrough of larger bilateral exchange rate movements (ie more than 5%) is around four times larger than that of smaller changes. However, regressions on aggregate data indicate that passthrough at the macro level is close to full. The resolution to this apparent puzzle lies in the fact that larger bilateral movements account for the vast majority of variation in the exchange rate index, and hence the non-linearity at the micro level largely disappears at the macro level.

Keywords: Exchange rate passthrough; Big Data; non-linearity (search for similar items in EconPapers)
JEL-codes: E31 F14 F41 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2016-01-08
New Economics Papers: this item is included in nep-ifn, nep-mac, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0579

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