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Exchange Rate Pass-Through to Food and Energy Consumer Price Inflation

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  • Richhild Moessner

Abstract

This paper studies exchange rate pass-through to food and energy consumer price inflation and its dependence on the inflation environment using cross-country panel estimation of Phillips curves. It considers a large panel of OECD member and candidate economies with quarterly data from 1994 to 2021. We find that exchange rate pass-through is largest for energy CPI inflation and also significant for food CPI inflation. A 10% depreciation in the exchange rate leads to an increase in energy CPI inflation of around 2 percentage points (pp) at the quarterly horizon and of 4pp at the yearly horizon; it leads to an increase in food CPI inflation of around 0.3pp and 2pp at the quarterly and yearly horizon, respectively. We also find some evidence that exchange rate pass-through to food and energy CPI inflation depends on the inflation environment, with higher inflation leading to larger pass-through.

Suggested Citation

  • Richhild Moessner, 2022. "Exchange Rate Pass-Through to Food and Energy Consumer Price Inflation," CESifo Working Paper Series 10164, CESifo.
    • Handle: RePEc:ces:ceswps:_10164
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    Cited by:

    1. Moessner Richhild & Xia Dora & Zampolli Fabrizio, 2023. "Global Inflation and Global Monetary Policy Tightening: Implications for the Euro Area," Intereconomics: Review of European Economic Policy, Sciendo, vol. 58(3), pages 151-154, June.

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    More about this item

    Keywords

    inflation; food prices; energy prices; exchange rates;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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