The speed of exchange rate pass-through
Andreas Fischer () and
Philip Sauré ()
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Barthélémy Bonadio: University of Michigan
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)
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Working Paper: The speed of exchange rate pass-through (2018)
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