Exchange rate pass-through to Swedish import prices
Swedish import price determination is investigated using disaggregated monthly data from 1980:1 to 1995:05 for eight different industries. The cointegration analysis indicates two cOintegrating relations, in all industries, between import prices, the exchange rate, world market prices and domestic prices. Two-equations systems involve an unclear definition of long-run exchange rate pass-though. Passthrough is defined as the total effect a nominal exchange-rate change has on the import price. The estimate thus includes the direct effect on import prices as well as the effect working through home market prices. Total pass-through estimates indicate a limited pass-through and thus pricing to market behaviour in the majority of industries. Tests of linear restrictions on the cointegrating vectors indicate, in a more formal, statistical sense, a complete long-run pass-through in most industries.
Volume (Year): 10 (1997)
Issue (Month): 2 (Autumn)
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- Peter Hooper & Catherine L. Mann, 1989. "Exchange Rate Pass-through in the 1980s: The Case of U.S. Imports of Manufactures," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(1), pages 297-337.
- Sven W. Arndt & J. David Richardson, 1987. "Real-Financial Linkages Among Open Economies," NBER Working Papers 2230, National Bureau of Economic Research, Inc.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Jayant Menon, 1992. "Exchange rates and prices of Australian manufactured exports," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(4), pages 695-710, December.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Gottfries, N., 1994. "Market Shares, Financial Constraints, and Pricing Behavior in the Export Industry," Papers 586, Stockholm - International Economic Studies.
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