Size Matters: Asymmetric Exchange Rate Pass-Through at the Industry Level
Patricia S. Pollard
Federal Reserve Bank of St. Louis, Research Division
Cletus C. Coughlin
Federal Reserve Bank of St. Louis - Research Division
University of Nottingham Research Paper No. 2004/13
We analyze exchange rate pass-through into U.S. import prices for 29 industries to address two questions. First, does the direction of a change in the exchange rate affect the degree of pass-through? Second, does the size of a change in the exchange rate matter for pass-through? We find that firms in over half the industries respond asymmetrically to appreciation and depreciations, but the direction of asymmetry varies. Likewise, most firms respond asymmetrically to large and small changes in the exchange rate and pass-through is generally positively related to the size of the change. When taking into account both direction and size effects we find that the size effect dominates.
Number of Pages in PDF File: 37
Keywords: pass-through,asymmetry,exchange rate
JEL Classification: F14, F31working papers series
Date posted: May 6, 2005
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