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Monthly pass-through ratios

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  • Marlene Amstad
  • Andreas M. Fischer

Abstract

This paper estimates monthly pass-through ratios from import prices to consumer prices in real time. Conventional time series methods impose restrictions to generate exogenous shocks on exchange rates or import prices when estimating pass-through coefficients. Instead, a natural experiment based on data releases defines our shock to foreign prices. Our estimation strategy follows an event-study approach based on monthly releases in import prices. Projections from a dynamic common factor model with daily panels before and after monthly releases of import prices define the shock. This information shock allows us to recover a monthly pass-through ratio. We apply our identification procedure to Swiss prices and find strong evidence that the monthly pass-through ratio is around 0.3. Our real-time estimates yield higher pass-through ratios than time series estimates.

Suggested Citation

  • Marlene Amstad & Andreas M. Fischer, 2009. "Monthly pass-through ratios," Globalization Institute Working Papers 26, Federal Reserve Bank of Dallas.
    • Handle: RePEc:fip:feddgw:26
    Note: Published as: Amstad, Marlene and Andreas M. Fischer (2010), "Monthly Pass-Through Ratios," Journal of Economic Dynamics and Control 34 (7): 1202-1213.
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    Cited by:

    1. International Monetary Fund, 2011. "Switzerland: Selected Issues Paper," IMF Staff Country Reports 2011/116, International Monetary Fund.
    2. repec:hok:dpaper:311 is not listed on IDEAS
    3. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
    4. Mark A. Wynne, 2012. "Five Years of Research on Globalization and Monetary Policy: What Have We Learned?," Annual Report, Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, pages 2-17.
    5. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2017. "The New York Fed Staff Underlying Inflation Gauge (UIG)," Economic Policy Review, Federal Reserve Bank of New York, issue 23-2, pages 1-32.
    6. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2014. "The FRBNY staff underlying inflation gauge: UIG," Staff Reports 672, Federal Reserve Bank of New York.
    7. Marlene Amstad & Ye Huan & Guonan Ma, 2014. "Developing an underlying inflation gauge for China," BIS Working Papers 465, Bank for International Settlements.
    8. Kellermann, Kersten & Schlag, Carsten-Henning, 2011. "Frankenstärke und Importpreisreagibilität: Kurz-, mittel- und langfristige Effekte," KOFL Working Papers 10, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz.

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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