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Exchange Rate Pass-Through on Prices in Macrodata: A Comparative Sensitivity Analysis

Mihailov, Alexander (2003) Exchange Rate Pass-Through on Prices in Macrodata: A Comparative Sensitivity Analysis. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.

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Abstract

The paper compares exchange rate pass-through on 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 alternative 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 on import prices has declined in the 1990s relative to the 1980s, pass-through on export prices remains country-specific and pass-through on consumer prices is nowadays negligible in all three economies we consider.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: exchange rate pass-through, aggregate prices, sensitivity analysis, international comparisons
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jenny Connolly
Date Deposited: 28 Aug 2014 14:16
Last Modified: 28 Aug 2014 14:16
URI: http://repository.essex.ac.uk/id/eprint/8867

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