Exchange Rate Pass-through into German Import Prices – A Disaggregated Perspective
This study analyzes the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyze data for different product categories, and also cointegration techniques to carefully distinguish between shortrun and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, while short-run passthrough shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors which determine changes in the degree of pass-through, which is especially relevant for policymakers.
|Date of creation:||Jul 2013|
|Date of revision:|
|Contact details of provider:|| Postal: Hohenzollernstraße 1-3, 45128 Essen|
Web page: http://www.rwi-essen.de/
More information through EDIRC
|Order Information:||Web: http://www.rwi-essen.de/publikationen/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bussière, M. & Delle Chiaie, S. & Peltonen, T. A., 2013. "Exchange Rate Pass-Through in the Global Economy," Working papers 424, Banque de France.
- Ben Cheikh, Nidhaleddine, 2012.
"Non-linearities in exchange rate pass-through: Evidence from smooth transition models,"
39258, University Library of Munich, Germany.
- Nidhaleddine Ben Cheikh, 2012. "Non-linearities in exchange rate pass-through: Evidence from smooth transition models," Economics Bulletin, AccessEcon, vol. 32(3), pages 2530-2545.
- Nidhaleddine Ben Cheikh, 2012. "Non-linearities in exchange rate pass-through: Evidence from smooth transition models," Post-Print halshs-00761018, HAL.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Delatte, Anne-Laure & López-Villavicencio, Antonia, 2012.
"Asymmetric exchange rate pass-through: Evidence from major countries,"
Journal of Macroeconomics,
Elsevier, vol. 34(3), pages 833-844.
- Anne-Laure Delatte & Antonia Lòpez-Villavicencio, 2012. "Asymmetric exchange rate pass-through: Evidence from major countries," Post-Print hal-00779761, HAL.
- Matthieu Bussière & Simona Delle Chiaie & Tuomas A Peltonen, 2014.
"Exchange Rate Pass-Through in the Global Economy: The Role of Emerging Market Economies,"
IMF Economic Review,
Palgrave Macmillan, vol. 62(1), pages 146-178, April.
- Bussiére, Matthieu & Peltonen, Tuomas, 2008. "Exchange rate pass-through in the global economy : the role of emerging market economies," BOFIT Discussion Papers 25/2008, Bank of Finland, Institute for Economies in Transition.
- Bussière, Matthieu & Peltonen, Tuomas A., 2008. "Exchange rate pass-through in the global economy: the role of emerging market economies," Working Paper Series 0951, European Central Bank.
- Rudiger Dornbusch, 1985.
"Exchange Rates and Prices,"
NBER Working Papers
1769, National Bureau of Economic Research, Inc.
- Haroon Mumtaz & Özlem Oomen & Jian Wang, 2006. "Exchange rate pass-through into UK import prices," Bank of England working papers 312, Bank of England.
- Taylor, John B., 2000. "Low inflation, pass-through, and the pricing power of firms," European Economic Review, Elsevier, vol. 44(7), pages 1389-1408, June.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- José Manuel Campa & Linda S. Goldberg, 2005.
"Exchange Rate Pass-Through into Import Prices,"
The Review of Economics and Statistics,
MIT Press, vol. 87(4), pages 679-690, November.
- Berner, Eike, 2011. "Exchange rate pass-through: New evidence from German micro data," Economics Working Papers 2011,01, Christian-Albrechts-University of Kiel, Department of Economics.
- Froot, Kenneth A & Klemperer, Paul D, 1989.
"Exchange Rate Pass-Through When Market Share Matters,"
American Economic Review,
American Economic Association, vol. 79(4), pages 637-54, September.
- Kenneth A. Froot & Paul Klemperer, 1988. "Exchange Rate Pass-Through When Market Share Matters," NBER Working Papers 2542, National Bureau of Economic Research, Inc.
- Kenneth Rogoff & William Brainard & George Perry, .
"Global Current Account Imbalances and Exchange Rate Adjustments,"
33687, Harvard University OpenScholar.
- Maurice Obstfeld & Kenneth S. Rogoff, 2005. "Global Current Account Imbalances and Exchange Rate Adjustments," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 36(1), pages 67-146.
- Hargreaves, Colin P. (ed.), 1994. "Non-Stationary Time Series Analysis and Cointegration," OUP Catalogue, Oxford University Press, number 9780198773924, December.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Stahn, Kerstin, 2009. "Changes in import pricing behaviour: the case of Germany," Discussion Paper Series 1: Economic Studies 2009,14, Deutsche Bundesbank, Research Centre.
- Brun-Aguerre, Raphael & Fuertes, Ana-Maria & Phylaktis, Kate, 2012. "Exchange rate pass-through into import prices revisited: What drives it?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 818-844.
- Linda S. Goldberg & José Manuel Campa, 2010. "The Sensitivity of the CPI to Exchange Rates: Distribution Margins, Imported Inputs, and Trade Exposure," The Review of Economics and Statistics, MIT Press, vol. 92(2), pages 392-407, May.
- Al-Abri, Almukhtar S. & Goodwin, Barry K., 2009. "Re-examining the exchange rate pass-through into import prices using non-linear estimation techniques: Threshold cointegration," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 142-161, January.
When requesting a correction, please mention this item's handle: RePEc:rwi:repape:0427. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabine Weiler)
If references are entirely missing, you can add them using this form.