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Exchange Rate Pass-through to Export Prices
Robert J. Vigfusson
Nathan Sheets
Joseph E. Gagnon
其他書名
Assesing Some Cross-country Evidence
出版
Board of Governors of the Federal Reserve System
, 2007
URL
http://books.google.com.hk/books?id=r4tRAQAAMAAJ&hl=&source=gbs_api
註釋
A growing body of empirical work has found evidence of a decline in exchange rate pass-through to import prices in a number of industrial countries. Our paper complements this work by examining pass-through from the other side of the transaction; that is, we assess the exchange rate sensitivity of export prices (denominated in the exporter's currency). We first sketch out a streamlined analytical model that highlights some key factors that determine pass-through. Using this model as reference, we find that the prices charged on exports to the United States are more responsive to the exchange rate than is the case for export prices to other destinations, which is consistent with results in the literature suggesting that import price pass-through in the U.S. market is relatively low. We also find that moves in the exchange rate sensitivity of export prices over time have been significantly affected by country and region-specific factors, including the Asian financial crisis (for emerging Asia), deepening integration with the United States (for Canada), and the effects of the 1992 ERM crisis (for the United Kingdom).