Pass-through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies
Bank for International Settlements, Monetary and Economic Department, 1999 - Exchange rate pass-through - 37 pages
"This paper examines the impact of exchange rates and import prices on the domestic producer price index and consumer price index in selected industrialized economies. The empirical model is a vector autoregression incorporating a distribution chain of pricing. When the model is estimated over the post-Bretton Woods era, impulse responses indicate that exchange rates have a modest effect on domestic price inflation while import prices have a stronger effect. Pass-through is larger in countries with a larger import share and more persistent exchange rates and import prices. Over 1996-98, these external factors have had a sizable disinflationary effect in many of the countries, but not in the United States. Estimating the model using post-1982 data has little effect on these conclusions"--Federal Reserve Bank of New York web site.
What people are saying - Write a review
We haven't found any reviews in the usual places.
Inﬂuences on passthrough
Recent inﬂuence of extemal factors 7 Has the inﬂuence of extemal factors changed?
1 other sections not shown
adjusted by regressing aggregate demand Annualised percentage changes Belgium Cholesky decomposition conceming constructed by splicing consumer price index CPI inﬂation disinﬂation disinﬂationary effect domestic inﬂation Egon Zakrajsek exchange rate ﬂuctuations exchange rate shocks Exchange rate volatility extemal factors ﬁnds ﬁrst forecast variance attributed France GDP volatility gross domestic product historical decomposition identiﬁed import price index import price inﬂation import price PPI import price series import price shocks import share impulse responses industrialised economies inﬂation shocks inﬂuence Japan latter series level critical value log difference model is estimated Netherlands pass-through of exchange PPI and CPI prices on domestic producer price index product in billions proﬁt margins quarterly average quarterly dummy variables rank correlations rate and import regressing the log seasonally adjusted series are equal series is reindexed series is seasonally series on quarterly shorter horizons splicing two series statistically signiﬁcant Sweden Switzerland United Kingdom variance decompositions World Economic Forum