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Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through

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Author Info
Stéphane Dées () (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
Matthias Burgert () (University of Frankfurt, House of Finance, Grüneburgplatz 1, D-60323 Frankfurt am Main, Germany.)
Nicolas Parent () (Bank of Canada, 234 Wellington Street, Ottawa, Ontario K1A 0G9, Canada.)

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Abstract

This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets ; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over time. Based on monthly data over the period 1991-2007, the results show first that large destination markets exhibit the lowest degree of pass-through. The degree of pass-through for goods imported from emerging economies is also significantly lower than for those from developed economies. Regarding the evolution over time, no clear change in pricing behaviours can be identified and particular events, like large exchange rates depreciations during the Asian crisis, seem to influence the degree of pass-through related to imports from emerging economies. JEL Classification: E31, F3, F41.

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Paper provided by European Central Bank in its series Working Paper Series with number 933.

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Length: 56 pages
Date of creation: Sep 2008
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Handle: RePEc:ecb:ecbwps:20080933

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Related research
Keywords: Pricing to Market; Exchange rate pass-through; Import price modeling.;

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This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  16. Jiawen Yang, 1992. "Exchange Rate Pass-Through in U.S. Manufacturing Industries," Working Papers 92-28, New York University, Leonard N. Stern School of Business, Department of Economics.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Stahn, Kerstin, 2009. "Changes in import pricing behaviour: the case of Germany," Discussion Paper Series 1: Economic Studies 2009,14, Deutsche Bundesbank, Research Centre. [Downloadable!]
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