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RESEARCH PRODUCT
The Speed of Exchange Rate Pass-Through
Philip SauréPhilip SauréAndreas FischerAndreas FischerBarthélémy Bonadiosubject
Shock (economics)Exchange rateEconomicsExchange-rate pass-throughInternational economicsMonetary economicsNational bankdescription
On January 15, 2015, the Swiss National Bank terminated its minimum exchange rate policy of one euro against 1.2 Swiss francs. This policy shift resulted in a sharp, unanticipated and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the exchange rate pass-through into import unit values of this shock at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euro the pass-through is immediate and complete. This finding is consistent with no systematic nominal price adjustment in this subset of goods. Second, for goods invoiced in Swiss francs the pass-through is partial and very fast: it starts on the second working day after the exchange rate shock and reaches the medium-run pass-through after eight working days on average. We interpret the latter finding as evidence that nominal rigidities unravelled quickly in the face of a large exchange rate shock.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-01-01 | Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers |