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Exchange Rate Pass-Through on Prices in Macrodata: A Comparative Sensitivity Analysis

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  • Alexander Mihailov

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Abstract

The paper compares exchange rate pass-through on aggregate prices in the US, Germany and Japan across a number of dimensions. Building on the empirical approaches in the recent literature, our contribution is to perform a thorough sensitivity analysis of alternative pass-through estimates. We find that the econometric method, data frequency and variable proxy employed matter for the precision of details, yet they often agree on some general trends. Thus, pass-through on import prices has declined in the 1990s relative to the 1980s, pass-through on export prices remains country-specific and pass-through on consumer prices is nowadays negligible in all three economies we consider.

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Bibliographic Info

Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 568.

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Date of creation: 28 Oct 2003
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Handle: RePEc:esx:essedp:568

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  1. Gross, Dominique M. & Schmitt, Nicolas, 2000. "Exchange rate pass-through and dynamic oligopoly: an empirical investigation," Journal of International Economics, Elsevier, vol. 52(1), pages 89-112, October.
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  3. Jose Manuel Campa & Linda S. Goldberg, 2002. "Exchange Rate Pass-Through into Import Prices: A Macro or Micro Phenomenon?," NBER Working Papers 8934, National Bureau of Economic Research, Inc.
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  7. Gil-Pareja, Salvador, 2003. "Pricing to market behaviour in European car markets," European Economic Review, Elsevier, vol. 47(6), pages 945-962, December.
  8. Michael B. Devereux & Charles Engel & Peter E. Storgaard, 2002. "Endogenous Exchange Rate Pass-Through When Nominal Prices are Set in Advance," Working Papers 212002, Hong Kong Institute for Monetary Research.
  9. Alexander Mihailov, 2003. "Effects of the Exchange-Rate Regime on Trade under Monetary Uncertainty: The Role of Price Setting," Economics Discussion Papers 566, University of Essex, Department of Economics.
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  14. Matteo Bugamelli & Roberto Tedeschi, 2008. "Pricing-to-Market and Market Structure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 155-180, 04.
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  17. Dominique M. Gross & Nicolas Schmitt, 1999. "Exchange Rate Pass-Through and Dynamic Oligopoly," IMF Working Papers 99/47, International Monetary Fund.
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Cited by:
  1. Luis Fernando Escobar Patiño & Pablo Mendieta Ossio, 2003. "Inflación y depreciación en una economía dolarizada. El caso de Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 6(2-1), pages 7-50, December.
  2. Alexander Mihailov, 2003. "Effects of the Exchange-Rate Regime on Trade under Monetary Uncertainty: The Role of Price Setting," Economics Discussion Papers 566, University of Essex, Department of Economics.
  3. Sek, Siok Kun & Kapsalyamova, Zhanna, 2008. "Exchange rate pass-through and volatility: Impacts on domestic prices in four Asian countries," MPRA Paper 11130, University Library of Munich, Germany, revised 26 Oct 2008.
  4. Janet Ceglowski, 2012. "Has global competition changed US export pricing?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 1-13, 01.
  5. Carlos Cortinhas, 2009. "Exchange Rate Pass-Through In Asean: Implications For The Prospects Of Monetary Integration In The Region," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 54(04), pages 657-687.
  6. Bj�rn D�hring, 2008. "Hedging and invoicing strategies to reduce exchange rate exposure - a euro-area perspective," European Economy - Economic Papers 299, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.

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