Exchange rate pass-through in Switzerland: Evidence from vector autoregressions

Jonas Stulz

No 2007-04, Economic Studies from Swiss National Bank

Abstract: This study investigates the pass-through of exchange rate and import price shocks to different aggregated prices in Switzerland. The baseline analysis is carried out with recursively identified vector autoregressive (VAR) models. The data set comprises monthly observations, and pass-through effects are quantified by means of impulse response functions. Evidence shows that the exchange rate pass-through to import prices is substantial (although incomplete), but only moderate to total consumer prices. Moreover, a sub-sample analysis reveals that the pass-through decreased in the 1990s below the levels recorded in previous decades. This decrease was more pronounced for the pass-through to consumer prices than that to import prices, and it coincided with a shift towards lower and more stable consumer price inflation.

Keywords: Exchange rate pass-through; VAR; consumer prices; import prices (search for similar items in EconPapers)
JEL-codes: C32 E31 F41 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2007
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Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbecs:2007-04

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