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Daily exchange rate pass-through into micro prices

Author

Listed:
  • Renzo Alvarez
  • Amin Shoja
  • Syed Uddin
  • Hakan Yilmazkuday

Abstract

This article estimates the exchange rate pass-through (ERPT) by using good-level daily data on wholesale prices of imported agricultural products, where the identification is achieved by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about $$5$$5%. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about $$10$$10% when daily nominal exchange rate changes are above $$0.55$$0.55%, daily frequencies of price change are above $$3.12$$3.12% and storage life of a product is above $$10$$10 weeks. Important policy implications follow.

Suggested Citation

  • Renzo Alvarez & Amin Shoja & Syed Uddin & Hakan Yilmazkuday, 2019. "Daily exchange rate pass-through into micro prices," Applied Economics Letters, Taylor & Francis Journals, vol. 26(6), pages 440-445, March.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:6:p:440-445
    DOI: 10.1080/13504851.2018.1486972
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    Cited by:

    1. Yilmazkuday, Hakan, 2022. "Unequal Exchange Rate Pass-Through Across Income Groups," Macroeconomic Dynamics, Cambridge University Press, vol. 26(3), pages 682-725, April.

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    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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