The speed of exchange rate pass-through
Andreas Fischer () and
Philip Sauré ()
No 2018-05, Working Papers from Swiss National Bank
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
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn, nep-mon and nep-opm
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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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