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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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  8. Alexander Mihailov, 2003. "When and How Much Does a Peg Increase Trade? The Role of Trade Costs and Import Demand Elasticity under Monetary Uncertainty," Economics Discussion Papers 567, University of Essex, Department of Economics.
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Cited by:
  1. Luis Fernando Escobar Patiño & Pablo Hernán Mendieta Ossio, 2006. "Inflación y depreciación en una economía dolarizada: el caso de Bolivia," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 1-39, enero-mar.
  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. 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.
  5. 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.
  6. 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.

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