The speed of exchange rate pass-through

Barthélémy Bonadio, Andreas Fischer () and Philip Sauré

No 2018-05, Working Papers from Swiss National Bank

Abstract: On January 15, 2015, the Swiss National Bank discontinued 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 pass-through of this unusually clean exchange rate shock into import unit values at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euros, the pass-through is immediate and complete. Second, for goods invoiced in Swiss francs, the pass-through is partial and exceptionally fast, beginning on the second working day after the exchange rate shock and reaching the medium-run pass-through after twelve working days on average.

Keywords: Daily exchange rate pass-through; speed; large exchange rate shock (search for similar items in EconPapers)
JEL-codes: F14 F31 F41 (search for similar items in EconPapers)
Pages: 89 pages
Date: 2018
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Related works:
Journal Article: The Speed of Exchange Rate Pass-Through (2020)
Working Paper: The speed of the exchange rate pass-through (2016)
Working Paper: The speed of exchange rate pass-through (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2018-05

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