Time-varying pass-through from import prices to consumer prices: evidence from an event study with real-time data

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Time-varying pass-through from import prices to consumer prices: evidence from an event study with real-time data

Author Info

Marlene Amstad
Andreas M. Fischer

Additional information is available for the following registered author(s):

Andreas M Fischer

Abstract

This paper analyzes the pass-through from import prices to consumer price index (CPI) inflation in real time. Our strategy follows an event-study approach that compares inflation forecasts before and after import price releases. Inflation forecasts are modeled using a dynamic factor procedure that relies on daily panels of Swiss data. We find strong evidence that monthly import price releases provide important information for CPI inflation forecasts, and that the behavior of updated forecasts is consistent with a time-varying pass-through. The robustness of this latter result is supported by an alternative CPI measure that excludes price components subject to administered pricing as well as by panels capturing difference levels of information breadth. Finally, our empirical findings cast doubt on a prominent role for sticky prices in the low pass-through findings.

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Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 228.

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Date of creation: 2005
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Handle: RePEc:fip:fednsr:228

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Paper
- Amstad, Marlene & Fischer, Andreas, 2006. "Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data," Working Papers 2006-6, Swiss National Bank. [Downloadable!]
- Amstad, Marlene & Fischer, Andreas M, 2005. "Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data," CEPR Discussion Papers 5395, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-01-01 (All new papers)
NEP-FOR-2006-01-01 (Forecasting)
NEP-MAC-2006-01-01 (Macroeconomics)
NEP-MIC-2006-01-01 (Microeconomics)

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.:

Mark Bils and Peter J. Klenow, 2004. "Some Evidence on the Importance of Sticky Prices," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 947-985, October.
Other versions:
- Mark Bils & Peter J. Klenow, 2002. "Some Evidence on the Importance of Sticky Prices," NBER Working Papers 9069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Andreas Fischer & Marlene Amstad, 2004. "Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment," Working Papers 04.06, Swiss National Bank, Study Center Gerzensee. [Downloadable!]
Other versions:
- Amstad, Marlene & Fischer, Andreas M, 2004. "Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment," CEPR Discussion Papers 4627, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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Other versions:
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Other versions:
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Other versions:
- Amstad, Marlene & Fischer, Andreas M, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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Other versions:
- Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
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Other versions:
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