Pass-through of exchange rates and import prices to domestic inflation in some industrialised economies
Year: 1999
Type: preprint
Abstract: This paper examines the impact of exchange rates and import prices on domestic PPI and CPI in selected industrialised economies. The empirical model is a VAR incorporating a distribution chain of pricing. Impulse responses and variance decompositions indicate that these external factors have a modest effect on domestic price inflation over the post-Bretton Woods era. The pass-through is somewhat stronger in countries with a larger import share. A historical decomposition over 1996-98 indicates, however, that external factors have had a sizable disinflationary effect in most of the countries during the past couple of years. Estimating the model using post-1982 data has little effect on these conclusions.
DOI: 10.2139/ssrn.856284
Author: Jonathan McCarthy
Institution: Federal Reserve Bank of New York
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2164042885