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State‐Dependent Exchange Rate Pass‐Through

Author

Listed:
  • Yan Carrière‐Swallow
  • Melih Firat
  • Davide Furceri
  • Daniel Jiménez

Abstract

We estimate how the rate of pass‐through from the exchange rate to domestic prices varies across states of the economy and depending on the shocks that drive fluctuations in the exchange rate. We confirm several results from the literature and uncover new facts. Drawing on the experience of a large sample of advanced and emerging market economies over the past 30 years, we document that exchange rate pass‐through is significantly larger during periods of elevated uncertainty and when inflation is high. Using a novel identification strategy, we also show that pass‐through is higher when exchange rate fluctuations are driven by U.S. monetary policy.

Suggested Citation

  • Yan Carrière‐Swallow & Melih Firat & Davide Furceri & Daniel Jiménez, 2025. "State‐Dependent Exchange Rate Pass‐Through," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 87(3), pages 539-561, June.
    • Handle: RePEc:bla:obuest:v:87:y:2025:i:3:p:539-561
    DOI: 10.1111/obes.12645
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    Cited by:

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    2. Kwon, Janghan, 2025. "Monetary policy credibility and state-dependent exchange rate pass-through in Asia-Pacific countries," Economic Modelling, Elsevier, vol. 151(C).
    3. Viorica LOPOTENCO & Ana CIRLAN, 2025. "Inflation Targeting And The Moldovan Leu: Evidence From A Var On Monetary Channels," European Journal of Accounting, Finance & Business, "Stefan cel Mare" University of Suceava, Romania - Faculty of Economics and Public Administration, West University of Timisoara, Romania - Faculty of Economics and Business Administration, vol. 13(2), pages 64-70, June.
    4. Samuel Martinez & Daniel Ventosa-Santaularia, 2025. "In Search of the Lost Exchange Rate Pass-Through in Mexico," Working Papers hal-05425626, HAL.
    5. Canales, Mario & Lopez-Martin, Bernabe, 2024. "Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata," Economic Modelling, Elsevier, vol. 139(C).
    6. Kwon, Janghan & Shin, Woongjae, 2023. "Nonlinear exchange rate pass-through and monetary policy credibility: Evidence from Korea," Economics Letters, Elsevier, vol. 230(C).
    7. Lama, Anil & Budha, Birendra Bahadur & Prabhesh, K.P. & Rana, Sona, 2025. "Exchange rate pass-through in Nepal," Journal of Asian Economics, Elsevier, vol. 97(C).

    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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