Working Paper
Pass-through estimates and the choice of an exchange rate index
Abstract: We examine exchange rate pass-through into U.S. import prices in 29 manufacturing industries using eight exchange rate indexes. These indexes vary by the number currencies included; whether the weight on each currency is based on total trade with the United States or solely imports; and, whether the weights vary by industry. Our results indicate that pass-through is generally incomplete but varies across industries. Moreover, pass-through is sensitive to the exchange rate index. Using bootstrapped J tests we show that major currency indexes perform better than their broad currency counterparts. When using a major currency index, industry-specific exchange rate indexes are preferred to aggregate indexes.
Keywords: Foreign exchange rates;
Access Documents
File(s): File format is application/pdf http://research.stlouisfed.org/wp/more/2003-004/
Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2003
Number: 2003-004