The speed of exchange rate pass-through
Andreas Fischer () and
Philip Sauré ()
No 282, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
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
New Economics Papers: this item is included in nep-eec, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
http://www.dallasfed.org/assets/documents/institute/wpapers/2016/0282.pdf Full text (application/pdf)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:282
Access Statistics for this paper
More papers in Globalization Institute Working Papers from Federal Reserve Bank of Dallas Contact information at EDIRC.
Bibliographic data for series maintained by ().