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Title:Time-varying pass-through from import prices to consumer prices: Evidence from an event study with real-time data PDF Logo
Authors:Amstad, Marlene
Fischer, Andreas M.
Issue Date:2005
Series/Report no.:Staff Report, Federal Reserve Bank of New York 228
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 passthrough findings.
Subjects:common factors, pass-through, daily panels
JEL:E52
E58
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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