The speed of exchange rate pass-through

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

No 282, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: On January 15, 2015, the Swiss National Bank terminated its minimum exchange rate policy of one euro against 1.2 Swiss francs. This policy shift resulted in a sharp, unanticipated and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the exchange rate pass-through into import unit values of this shock at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euro the pass-through is immediate and complete. This finding is consistent with no systematic nominal price adjustment in this subset of goods. Second, for goods invoiced in Swiss francs the pass-through is partial and very fast: it starts on the second working day after the exchange rate shock and reaches the medium-run pass-through after eight working days on average. We interpret the latter finding as evidence that nominal rigidities unravelled quickly in the face of a large exchange rate shock.

JEL-codes: F14 F31 F41 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2016-09-01
New Economics Papers: this item is included in nep-eec, nep-mon and nep-opm
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Related works:
Journal Article: The Speed of Exchange Rate Pass-Through (2020)
Working Paper: The speed of exchange rate pass-through (2018)
Working Paper: The speed of the exchange rate pass-through (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:282

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DOI: 10.24149/gwp282

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