Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60617 
Year of Publication: 
2005
Series/Report no.: 
Staff Report No. 228
Publisher: 
Federal Reserve Bank of New York, New York, NY
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

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