Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/271808 
Year of Publication: 
2022
Series/Report no.: 
CESifo Working Paper No. 10164
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper studies exchange rate pass-through to food and energy consumer price inflation and its dependence on the inflation environment using cross-country panel estimation of Phillips curves. It considers a large panel of OECD member and candidate economies with quarterly data from 1994 to 2021. We find that exchange rate pass-through is largest for energy CPI inflation and also significant for food CPI inflation. A 10% depreciation in the exchange rate leads to an increase in energy CPI inflation of around 2 percentage points (pp) at the quarterly horizon and of 4pp at the yearly horizon; it leads to an increase in food CPI inflation of around 0.3pp and 2pp at the quarterly and yearly horizon, respectively. We also find some evidence that exchange rate pass-through to food and energy CPI inflation depends on the inflation environment, with higher inflation leading to larger pass-through.
Subjects: 
inflation
food prices
energy prices
exchange rates
JEL: 
E31
E52
E58
F31
Document Type: 
Working Paper
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