| Open | Published:
Exchange rates and import prices in Switzerland
Swiss Journal of Economics and Statisticsvolume 148, pages381–407 (2012)
For the case of Switzerland, this paper endeavours to estimate the empirical extent to which exchange rates are “passed-through” onto import prices. For data covering the 1999 to 2010 period, the results suggest that (i) on aggregate, the exchange rate pass-through is highly incomplete with an elasticity of around 0.3 and (ii) major differences arise between industries. In particular, larger pass-through effects can be observed for certain commodities and other standardised products such as paper, timber, or minerals whilst for automobiles and textiles, the impact of the exchange rate upon import prices is almost always negligible and statistically far from significant.
Anderton, Robert (2003), “Extra-Euro Area Manufacturing Import Prices and Exchange Rate Pass Through”, ECB Working Paper No. 219.
Baldwin, Richard, and Paul Krugman (1989), “Persistent Trade Effects of Large Exchange Rate Shocks”, Quarterly Journal of Economics, 104, pp. 635–655.
Benigno, Pierpaolo, and Ester Faia (2010), “Globalization, Pass-Through and Inflation Dynamic”, NBER Working Paper Nr. 15842.
Bergin, Paul R., and Robert C. Feenstra (2000), “Staggered Price Setting, Translog Preferences, and Endogenous Persistence”, Journal of Monetary Economics, 45, pp. 657–680.
Bergin, Paul R., and Robert C. Feenstra (2001), “Pricing-to-Market, Staggered Contracts and Real Exchange Rate Persistence”, Journal of International Economics, 54, pp. 333–359.
Bernhofen, Daniel M., and Peng Xu (2000), “Exchange Rates and Market Power: Evidence from the Petrochemical Industry”, Journal of International Economics, 52, pp. 283–297.
Bodnar, Gordon M., Bernard Dumas and Richard C. Marston (2002), “Pass-Through and Exposure”, Journal of Finance, 57, pp. 199–231.
Bundesamt für Statistik (various years), Statistisches Jahrbuch der Schweiz, Zürich: Verlag Neue Zürcher Zeitung.
Bundesamt für Statistik (2008), Das Gefäss der Produzenten- und Importpreiserhebung wird revidiert, Neuchâtel.
Campa, Jose M., and Linda S. Goldberg (2005), “Exchange Rate Pass-Through into Import Prices”, The Review of Economics and Statistics, 87, pp. 679–690.
Cavaliere, Marco (2007), “How does Exchange Rate-Pass Through Differ across Countries and Across Price Indices? Evidence from the Industialized Countries”, Mimeo.
Christensen, Lauritus R., Dale W. Jorgenson and Lawrence J. Lau (1975), “Transcendental Logarithmic Utility Functions”, American Economic Review, 65, pp. 367–383.
Choudhri, Ehsan, and Dalia Hakura (2006), “Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter?”, Journal of International Money and Finance, 25, pp. 614–639.
Diewert, William E. (1974), “Applications of Duality Theory”, in Frontiers of Quantitative Economics Vol II, Michael D. Intriligator and David A. Kendrick, eds., pp. 106–171, Amsterdam: North Holland.
Dornbusch, Rudiger (1987), “Exchange Rates and Prices”, American Economic Review, 77, pp. 93–106.
Ehrsam, Peter, Nils Herger, and Oliver Sutter (2007), “Estimating Market Power in the Swiss Petrol Retailing Industry — A New Empirical Industrial Organisation Approach”, Aussenwirtschaft, 62, pp. 107–132.
Feenstra, Robert C. (1989), “Symmetric Pass-Through of Tariffs and Exchange Rates under Imperfect Competition: An Empirical Test”, Journal of International Economics, 27, pp. 24–45.
Feenstra, Robert C. (2003), “A Homothetic Utility Function for Monopolistic Competition Models, without Constant Price Elasticity”, Economic Letters, 78, pp. 79–86.
Froot, Kenneth, and Paul Klemperer (1989), “Exchange Rate Pass-Through when Market Share Matters”, American Economic Review, 79, pp. 636–654.
Gagnon, Joseph E., and Jane Ihrig (2004), “Monetary Policy and Exchange Rate Pass-Through”, International Journal of Finance and Economics, 9, pp. 315–338.
Hentsch, Hans, and Priska Baur (2008), Agrarpolitische Mythen, Zurich: NZZ Libero.
Ihrig, Jane E., Mario Marazzi and Alexander D. Rothenberg (2006), “Exchange Rate Pass-Through in the G-7 countries”, International Finance Discussion Paper 851, Federal Reserve Board of Governors.
Martin, Stephen (2002), Advanced Industrial Organisation, Oxford: Black-well Publishing.
McCarthy, Jonathan (2000), “Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in some Industrialized Economies”, Federal Reserve Bank of New York Staff Report No. 11.
Menon, Jayant (1995), “Exchange Rate Pass-Through”, Journal of Economic Surveys, 9, pp. 197–231.
Reynard, Samuel (2009), “What Drives the Swiss Franc?”, Aussenwirtschaft, 64, pp. 335–363.
Schweizerische Nationalbank (various years), “Monthly Statistical Bulletin”, Zurich.
Schweizerische Nationalbank (2001), „Die Revision der nominalen und realen exportgewichteten Wechselkursindizes des Schweizer Frankens“, Zurich: Quartalsheft 3/2001 der SNB.
Soeoderlind, Paul, and Angelo Ranaldo (2010), “Safe Haven Currencies”, Review of Finance, 10, pp. 385–407.
Staiger, Douglas, and James. H. Stock (1997), “Instrumental Variables Regression with Weak Instruments”, Econometrica, 65, pp. 557–586.
Stulz, Jonas (2007), “Exchange Rate Pass-Through in Switzerland: Evidence from Vector Autoregressions”, Swiss National Bank Economic Studies 4-2007.
Wooldridge, Jeffrey M. (2002), Econometric Analysis of Cross Section and Panel Data, Cambridge (Mass.): MIT Press.
Yang, Jiawen (1997), “Exchange Rate Pass-Through in U.S. Manufacturing Industries”, The Review of Economics and Statistics, 79, pp. 95–104.
This paper has greatly benefited from valuable comments and suggestions by Susan Kaplan and two thoughtful referees. The usual disclaimer applies.