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Exchange Rate Pass-Through on Prices in Macrodata: A Comparative Sensitivity Analysis

  • Alexander Mihailov

    ()

The paper compares exchange rate pass-through on aggregate prices in the US, Germany and Japan across a number of dimensions. Building on the empirical approaches in the recent literature, our contribution is to perform a thorough sensitivity analysis of alternative pass-through estimates. We find that the econometric method, data frequency and variable proxy employed matter for the precision of details, yet they often agree on some general trends. Thus, pass-through on import prices has declined in the 1990s relative to the 1980s, pass-through on export prices remains country-specific and pass-through on consumer prices is nowadays negligible in all three economies we consider.

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File URL: http://www.essex.ac.uk/economics/discussion-papers/papers-text/dp568.pdf
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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 568.

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Date of creation: 28 Oct 2003
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Handle: RePEc:esx:essedp:568
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  27. Hellerstein, Rebecca, 2008. "Who bears the cost of a change in the exchange rate? Pass-through accounting for the case of beer," Journal of International Economics, Elsevier, vol. 76(1), pages 14-32, September.
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