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Daily Exchange Rate Pass-through into Micro Prices

Renzo Alvarez (), Amin Shoja (), Syed Uddin and Hakan Yilmazkuday ()
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Renzo Alvarez: Department of Economics, Florida International University
Amin Shoja: Department of Economics, Florida International University

No 1803, Working Papers from Florida International University, Department of Economics

Abstract: This paper estimates the exchange rate pass-through (ERPT) by using good-level daily data on wholesale prices of imported agricultural products, where the identification is achieved by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal exchange rate changes are above 0.55 percent, daily frequencies of price change are above 3.12 percent, and storage life of a product is above 10 weeks. Important policy implications follow.

Keywords: Daily Agricultural Prices; Exchange Rate Pass-Through; Good-Level Analysis (search for similar items in EconPapers)
JEL-codes: E31 F14 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac, nep-mon and nep-opm
Date: 2018-05
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http://economics.fiu.edu/research/working-papers/2018/1803/1803.pdf First version, 2018 (application/pdf)

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Journal Article: Daily exchange rate pass-through into micro prices (2019) Downloads
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