Exchange rate pass-through to U.S. import prices
Subtitle: some new evidence
By: Mario Marazzi ... [et al.].
Contributors: Marazzi, Mario.
Series: International finance discussion papers ;; no. 833; International finance discussion papers (Online) ;; no. 833.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper documents a sustained decline in exchange rate pass-through to U.S.  import prices, from above 0.5 during the 1980s to somewhere in the neighborhood of 0.2 during the last decade.  This decline in the pass-through coefficient is robust to the measure of foreign prices that is included in the regression (i.e., CPI versus PPI), whether the estimation is done in levels or differences, and whether U.S. prices are included as an explanatory variable.  Notably, the largest estimates of pass-through are obtained when commodity prices are excluded from the regression.  In this case, the pass-through coefficient captures both the direct effect of the exchange rate on import prices and an indirect effect operating through changes in commodity prices.  Our work indicates that an increasing share of exchange rate pass-through has occurred through this commodity-price channel in recent years.  While the source of the decline in pass-through is difficult to pin down with certainty, our work points to several factors, including the reduced share of (commodity-intensive) industrial supplies in U.S. imports and the increased presence of Chinese exporters in U.S.  markets.  We detect a particular step down in the pass-through coefficient around the time of the Asian financial crisis and document a shift in the export pricing behavior of emerging Asian firms around that time"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 9/26/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.