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

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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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Alexander Mihailov

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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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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Article
- Alexander Mihailov, 2009. "Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 346-377. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2004-06-22 (All new papers)
NEP-IFN-2004-06-22 (International Finance)
NEP-MFD-2003-11-03 (Microfinance)

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