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Estimating pass-through: structure and stability

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  • William R. Melick

Abstract

This paper estimates the pass-through relationship between exchange rates and import prices for the United States using recursive techniques across a variety of specifications to examine structural and coefficient stability in a systematic fashion. Results of estimations: 1) indicate that pass-through at the macroeconomic level is a complicated amalgamation of disparate industrial structures that involves more than one long-run equilibrium relationship between the variables of interest, and 2) call into question the prevailing wisdom that foreign firms changed their pricing behavior in light of the large appreciation in the exchange value of the dollar in the early 1980s.

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File URL: http://www.federalreserve.gov/pubs/ifdp/1990/387/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/1990/387/ifdp387.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 387.

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Date of creation: 1990
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Handle: RePEc:fip:fedgif:387

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Related research

Keywords: Interest rates ; Foreign exchange rates;

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Cited by:
  1. Atish Ghosh & Holger Wolf, 2001. "Imperfect Exchange Rate Passthrough: Strategic Pricing and Menu Costs," CESifo Working Paper Series 436, CESifo Group Munich.
  2. Ramon Moreno, 1991. "Explaining the U.S. export boom," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 39-52.
  3. Menzie David Chinn, 1991. "Beware of econometricians bearing estimates: Policy analysis in a “unit root” world," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 10(4), pages 546-567.
  4. Sabiston, David R., 2001. "Le pass-through du taux de change," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(3), pages 425-454, septembre.

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