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Exchange rate pass-through in Switzerland: Evidence from vector autoregressions

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  • Dr. Jonas Stulz

Abstract

This study investigates the pass-through of exchange rate and import price shocks to different aggregated prices in Switzerland. The baseline analysis is carried out with recursively identified vector autoregressive (VAR) models. The data set comprises monthly observations, and pass-through effects are quantified by means of impulse response functions. Evidence shows that the exchange rate pass-through to import prices is substantial (although incomplete), but only moderate to total consumer prices. Moreover, a sub-sample analysis reveals that the pass-through decreased in the 1990s below the levels recorded in previous decades. This decrease was more pronounced for the pass-through to consumer prices than that to import prices, and it coincided with a shift towards lower and more stable consumer price inflation.

Suggested Citation

  • Dr. Jonas Stulz, 2007. "Exchange rate pass-through in Switzerland: Evidence from vector autoregressions," Economic Studies 2007-04, Swiss National Bank.
  • Handle: RePEc:snb:snbecs:2007-04
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    File URL: https://www.snb.ch/en/publications/research/economic-studies/2007/03/economic_studies_2007_04
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    More about this item

    Keywords

    Exchange rate pass-through; VAR; consumer prices; import prices;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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