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Federal Reserve Bank of Dallas
Globalization Institute Working Papers
The speed of exchange rate pass-through
Barthélémy Bonadio
Andreas M. Fischer
Philip Saure
Abstract

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.


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Barthélémy Bonadio & Andreas M. Fischer & Philip Saure, The speed of exchange rate pass-through, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 282, 01 Sep 2016.
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DOI: 10.24149/gwp282
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