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Estimating the Exchange Rate Pass-Through Effect on Producer Prices of Final Products Based on Micro-Data of Russian Companies

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  • Sinyakov, A.

    (Bank of Russia, Moscow, Russia)

  • Chernyadyev, D.

    (Bank of Russia, Moscow, Russia)

  • Sapova, A.

    (Bank of Russia, Moscow, Russia)

Abstract

In this paper we directly estimate exchange rate pass-through (ERPT) to producer prices in some industries of final goods. For this we use survey data on import content of firms' costs according to the survey conducted by the Bank of Russia in yearly 2017. Thus, we contribute to existing ERPT estimates for Russia based on aggregate industry- or economy-wide data. In addition, to account for possible strategic complementarities and variable markups in the estimate of ERPT, we use the survey data and other industry data to calibrate the model by (Amiti, Itskhoki, Konings, 2016). Our results show, first, that ERPT of final goods' producers is around 0,18. Second, according to the survey data, ERPT is asymmetric. It is twice as lower for rouble appreciations as for its depreciations. Third, strategic complementarities in the agriculture and the food producing industry cause ERPT relatively stronger deviate from its direct estimate based on import content in production costs comparing to other industries. The results have important implications for estimating inflation volatility of food products in the consumer basket and for financial well-being of companies in the industries with high strategic complementarity.

Suggested Citation

  • Sinyakov, A. & Chernyadyev, D. & Sapova, A., 2019. "Estimating the Exchange Rate Pass-Through Effect on Producer Prices of Final Products Based on Micro-Data of Russian Companies," Journal of the New Economic Association, New Economic Association, vol. 41(1), pages 128-157.
    • Handle: RePEc:nea:journl:y:2019:i:41:p:128-157
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    References listed on IDEAS

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    Cited by:

    1. Oscar Gasanov, 2021. "Five Years of Inflation Targeting Without Economic Growth: What Should Be Changed? The Case of Russia," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 162-171, May.
    2. Urmat Dzhunkeev, 2024. "Forecasting Inflation in Russia Using Gradient Boosting and Neural Networks," Russian Journal of Money and Finance, Bank of Russia, vol. 83(1), pages 53-76, March.
    3. Loginova, Daria, 2022. "Assessing the Short-term Effect of Exchange Rate Liberalisation on Food Import Prices: The Regression Discontinuity in Time Employed for Russian Food Markets in 2014," Research on World Agricultural Economy, Nan Yang Academy of Sciences Pte Ltd (NASS), vol. 3(3), September.

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    More about this item

    Keywords

    exchange rate pass-through; inflation; strategic complementarities; markups; imports content of production cost; survey data;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection

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