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Exchange rate pass-through to bilateral import prices

  • Ceglowski, Janet
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    This paper estimates exchange rate pass-through for a unique set of bilateral US import prices over the period 1992-2006. It finds evidence of a significant decline in pass-through to US import prices from some, but not all, of the trading partners in the sample. These differences rule out a universal decline in pass-through rates to bilateral US import prices. They further indicate a growing divergence in the import price response to a uniform dollar decline.

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    File URL: http://www.sciencedirect.com/science/article/B6V9S-5023KCM-4/2/4960f638c56f394f3f500e95529aaf21
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 29 (2010)
    Issue (Month): 8 (December)
    Pages: 1637-1651

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    Handle: RePEc:eee:jimfin:v:29:y:2010:i:8:p:1637-1651
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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    1. Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
    2. Campa, José Manuel & Goldberg, Linda S., 2004. "Exchange Rate Pass-Through into Import Prices," CEPR Discussion Papers 4391, C.E.P.R. Discussion Papers.
    3. Paul R. Bergin & Robert C. Feenstra, 2007. "Pass-through of Exchange Rates and Competition Between Floaters and Fixers," NBER Working Papers 13620, National Bureau of Economic Research, Inc.
    4. Gust, Christopher & Leduc, Sylvain & Vigfusson, Robert, 2010. "Trade integration, competition, and the decline in exchange-rate pass-through," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 309-324, April.
    5. Marazzi, Mario & Sheets, Nathan, 2007. "Declining exchange rate pass-through to U.S. import prices: The potential role of global factors," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 924-947, October.
    6. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
    7. Toshitaka Sekine, 2006. "Time-varying exchange rate pass-through: experiences of some industrial countries," BIS Working Papers 202, Bank for International Settlements.
    8. Giovanni P. Olivei, 2002. "Exchange rates and the prices of manufacturing products imported into the United States," New England Economic Review, Federal Reserve Bank of Boston, issue Q 1, pages 3 - 18.
    9. Rebecca Hellerstein & Deirdre Daly & Christina Marsh, 2006. "Have U.S. import prices become less responsive to changes in the dollar?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 12(Sep).
    10. Ceglowski, Janet, 2010. "Has pass-through to export prices risen? Evidence for Japan," Journal of the Japanese and International Economies, Elsevier, vol. 24(1), pages 86-98, March.
    11. Robert J. Vigfusson & Nathan Sheets & Joseph Gagnon, 2007. "Exchange rate pass-through to export prices: assessing some cross-country evidence," International Finance Discussion Papers 902, Board of Governors of the Federal Reserve System (U.S.).
    12. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.).
    13. Mick Silver, 2007. "Do Unit Value Export, Import, and Terms of Trade Indices Represent or Misrepresent Price Indices?," IMF Working Papers 07/121, International Monetary Fund.
    14. Mario Marazzi & Nathan Sheets & Robert J. Vigfusson & Jon Faust & Joseph Gagnon & Jaime Marquez & Robert F. Martin & Trevor Reeve & John Rogers, 2005. "Exchange rate pass-through to U.S. import prices: some new evidence," International Finance Discussion Papers 833, Board of Governors of the Federal Reserve System (U.S.).
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