Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis
Mihailov, A. (2009) Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis. International Journal of Finance & Economics, 14 (4). pp. 346-377. ISSN 1099-1158
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To link to this article DOI: 10.1002/ijfe.376
This paper compares exchange rate pass-through to 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 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 to import prices has declined in the 1990s relative to the 1980s, pass-through to export prices remains country-specific and pass-through to consumer prices is nowadays negligible in all three economies we considered.