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Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis

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  • Alexander Mihailov

    (University of Reading, UK)

Abstract

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. Copyright © 2008 John Wiley & Sons, Ltd.

Suggested Citation

  • Alexander Mihailov, 2009. "Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 346-377.
    • Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:4:p:346-377
    DOI: 10.1002/ijfe.376
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    2. Arnoldo López Marmolejo, 2011. "Effects of a Free Trade Agreement on the Exchange Rate Pass‐through to Import Prices," Review of International Economics, Wiley Blackwell, vol. 19(3), pages 475-493, August.
    3. Carlos Cortinhas, 2009. "Exchange Rate Pass-Through In Asean: Implications For The Prospects Of Monetary Integration In The Region," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 54(04), pages 657-687.
    4. Jian Han & Yanzhi Shen, 2016. "Exchange Rate Pass-through to China's Export Price: A Product-level Investigation," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 24(2), pages 48-67, March.
    5. Björn Döhring, 2008. "Hedging and invoicing strategies to reduce exchange rate exposure - a euro-area perspective," European Economy - Economic Papers 2008 - 2015 299, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    6. Abdulaleem Isiaka & Alexander Mihailov & Giovanni Razzi, 2022. "Distributional Effects of Public Spending and Tax Shocks in Middle-Income Countries: A Panel VAR Approach," Economics Discussion Papers em-dp2022-09, Department of Economics, University of Reading.
    7. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2018. "Nonlinear state and shock dependence of exchange rate pass through on prices," BIS Working Papers 690, Bank for International Settlements.
    8. Mihailov, Alexander, 2003. "Effects of the Exchange-Rate Regime on Trade under Monetary Uncertainty: The Role of Price Setting," Economics Discussion Papers 8865, University of Essex, Department of Economics.
    9. Sek, Siok Kun & Kapsalyamova, Zhanna, 2008. "Exchange rate pass-through and volatility: Impacts on domestic prices in four Asian countries," MPRA Paper 11130, University Library of Munich, Germany, revised 26 Oct 2008.
    10. Luis Fernando Escobar Patiño & Pablo Hernán Mendieta Ossio, 2006. "Inflación y depreciación en una economía dolarizada: el caso de Bolivia," Monetaria, CEMLA, vol. 0(1), pages 1-39, enero-mar.
    11. Vadim O. Grishchenko & Alexander Mihailov & Vasily N. Tkachev, 2021. "Money Creation in Russia: Does the Money Multiplier Exist?," Economics Discussion Papers em-dp2021-15, Department of Economics, University of Reading.
    12. Janet Ceglowski, 2012. "Has global competition changed US export pricing?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 1-13, January.

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