Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60561
Authors: 
MacCarthy, Jonathan
Year of Publication: 
2000
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 111
Abstract: 
This paper examines the impact of exchange rates and import prices on the domestic producer price index and consumer price index in selected industrialized economies. The empirical model is a vector autoregression incorporating a distribution chain of pricing. When the model is estimated over the post-Bretton Woods era, impulse responses indicate that exchange rates have a modest effect on domestic price inflation while import prices have a stronger effect. Pass-through is larger in countries with a larger import share and more persistent exchange rates and import prices. Over 1996-98, these external factors have had a sizable disinflationary effect in many of the countries, but not in the United States. Estimating the model using post-1982 data has little effect on these conclusions
Subjects: 
pass-through, in‡ation, exchange rates, import prices
JEL: 
E31
F41
F31
Document Type: 
Working Paper

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