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Pass-through estimates and the choice of an exchange rate index

Cletus Coughlin () and Patricia Pollard ()

No 2003-004, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We examine exchange rate pass-through into U.S. import prices in 29 manufacturing industries using eight exchange rate indexes. These indexes vary by the number currencies included; whether the weight on each currency is based on total trade with the United States or solely imports; and, whether the weights vary by industry. Our results indicate that pass-through is generally incomplete but varies across industries. Moreover, pass-through is sensitive to the exchange rate index. Using bootstrapped J tests we show that major currency indexes perform better than their broad currency counterparts. When using a major currency index, industry-specific exchange rate indexes are preferred to aggregate indexes.

Keywords: Foreign; exchange; rates (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-ifn
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Journal Article: Passthrough Estimates and the Choice of an Exchange Rate Index* (2006) Downloads
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Handle: RePEc:fip:fedlwp:2003-004