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Exchange Rate Pass-Through in the Global Economy

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Author Info

  • Bussière, M.
  • Delle Chiaie, S.
  • Peltonen, T. A.

Abstract

This paper estimates export and import price equations for 40 countries – including 19 emerging market economies (EMEs) – and aims to understand heterogeneity across countries in the degree of exchange rate pass-through to import and to export prices. Results indicate that (i) the elasticities of trade prices are sizeable in EMEs, and higher on average than in advanced economies for export prices; (ii) such elasticities are primarily influenced by macroeconomic factors; (iii) export and import price elasticities tend to be strongly correlated across countries; (iv) lower exchange rate pass-through in the United States, compared to other advanced economies, can be related to the geographical distribution of U.S. imports, more heavily concentrated in countries with high elasticity of export prices. Overall, these results yield an enhanced understanding of exchange rate pass-through, emphasizing the role of external factors.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 424.

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Length: 32 pages
Date of creation: 2013
Date of revision:
Handle: RePEc:bfr:banfra:424

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Related research

Keywords: emerging market economies; exchange rate pass-through; terms of trade.;

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Cited by:
  1. Cozmanca,Bogdan-Octavian & Manea, Florentina, 2009. "Exchange rate pass-through into Romanian price indices. A VAR approach," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting 092102, Institute for Economic Forecasting.
  2. Dées, Stéphane & Burgert, Matthias & Parent, Nicolas, 2008. "Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through," Working Paper Series 0933, European Central Bank.
  3. Ehsan U. Choudhri & Dalia S. Hakura, 2014. "The Exchange Rate Pass-Through to Import and Export Prices: The Role of Nominal Rigidities and Currency Choice," Carleton Economic Papers 14-09, Carleton University, Department of Economics.
  4. Ehsan U. Choudhri & Dalia Hakura, 2012. "The Exchange Rate Pass -Through to Import and Export Prices," IMF Working Papers 12/226, International Monetary Fund.
  5. David Hargreaves & Elizabeth Watson, 2011. "Sudden stops, external debt and the exchange rate," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 74, pages 1-11, December.
  6. Joscha Beckmann & Ansgar Belke & Florian Verheyen, 2013. "Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0427, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  7. Mutuc, Maria Erlinda M. & Pan, Suwen & Hudson, Darren, 2011. "Sino-U.S. Price Transmission in Agricultural Commodities: How Important are Exchange Rate Movements?," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania, Agricultural and Applied Economics Association 103459, Agricultural and Applied Economics Association.
  8. Raphael Anton Auer, 2012. "Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi," Working Papers 2012-01, Swiss National Bank.
  9. Siok Kun, Sek, 2009. "The impacts of economic structures on the performance of simple policy rules in a small open economy," MPRA Paper 25065, University Library of Munich, Germany.
  10. Jimborean, Ramona, 2013. "The exchange rate pass-through in the new EU member states," Economic Systems, Elsevier, vol. 37(2), pages 302-329.
  11. Rajmund Mirdala, 2014. "Exchange Rate Pass-Through to Domestic Prices under Different Exchange Rate Regimes," William Davidson Institute Working Papers Series wp1070, William Davidson Institute at the University of Michigan.
  12. Paul J.J. Welfens, 2009. "Marshall-Lerner Condition and Economic Globalization," EIIW Discussion paper disbei168, Universitätsbibliothek Wuppertal, University Library.

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