publication . Preprint . 2007

Exchange rate pass-through in Switzerland: Evidence from vector autoregressions

Jonas Stulz;
Open Access
  • Published: 01 Jan 2007
Abstract
This study investigates the pass-through of exchange rate and import price shocks to different aggregated prices in Switzerland. The baseline analysis is carried out with recursively identified vector autoregressive (VAR) models. The data set comprises monthly observations, and pass-through effects are quantified by means of impulse response functions. Evidence shows that the exchange rate pass-through to import prices is substantial (although incomplete), but only moderate to total consumer prices. Moreover, a sub-sample analysis reveals that the pass-through decreased in the 1990s below the levels recorded in previous decades. This decrease was more pronounced...
Subjects
Medical Subject Headings: health care economics and organizations
free text keywords: Exchange rate pass-through, VAR, consumer prices, import prices, jel:C32, jel:E31, jel:F41

Corsetti, Giancarlo and Luca Dedola. 2005. A macroeconomic model of international price discrimination. Journal of International Economics 67(1): 129-155. [OpenAIRE]

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