Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data

56 Pages Posted: 11 Nov 2005

See all articles by Marlene Amstad

Marlene Amstad

The Chinese University of Hong Kong, Shenzhen; Harvard Kennedy School

Andreas M. Fischer

Swiss National Bank; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: November 2005

Abstract

This paper analyzes the pass-through from import prices to consumer price index (CPI) inflation in real time. Our strategy follows an event-study approach that compares inflation forecasts before and after import price releases. Inflation forecasts are modeled using a dynamic factor procedure that relies on daily panels of Swiss data. We find strong evidence that monthly import price releases provide important information for CPI inflation forecasts, and that the behavior of updated forecasts is consistent with a time-varying pass-through. The robustness of this latter result is supported by an alternative CPI measure that excludes price components subject to administered pricing as well as by panels capturing difference levels of information breadth. Finally, our empirical findings cast doubt on a prominent role for sticky prices in the low pass-through findings.

Keywords: common factors, pass-through, daily panels

JEL Classification: E52, E58

Suggested Citation

Amstad, Marlene and Amstad, Marlene and Fischer, Andreas M., Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data (November 2005). FRB of New York Staff Report No. 228, Available at SSRN: https://ssrn.com/abstract=845568 or http://dx.doi.org/10.2139/ssrn.845568

Marlene Amstad (Contact Author)

The Chinese University of Hong Kong, Shenzhen ( email )

Harvard Kennedy School ( email )

79 John F. Kennedy Street
Cambridge, MA 02138
United States

Andreas M. Fischer

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland
+41 1 631 3294 (Phone)
+41 1 631 3901 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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