Daily Exchange Rate Pass-Through into Micro Prices

13 Pages Posted: 5 Feb 2017 Last revised: 9 May 2018

See all articles by Renzo Alvarez

Renzo Alvarez

Florida International University (FIU), College of Arts & Sciences, Department of Economics, Students

Amin Shoja

Florida International University (FIU), College of Arts & Sciences, Department of Economics, Students

Syed Uddin

Florida International University (FIU), College of Arts & Sciences, Department of Economics, Students

Hakan Yilmazkuday

Florida International University (FIU) - Department of Economics

Date Written: May 3, 2018

Abstract

This paper estimates the exchange rate pass-through (ERPT) by using good-level daily data on wholesale prices of imported agricultural products, where the identification is achieved by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal exchange rate changes are above 0.55 percent, daily frequencies of price change are above 3.12 percent, and storage life of a product is above 10 weeks. Important policy implications follow.

Keywords: Daily Agricultural Prices, Exchange Rate Pass-Through, Good-Level Analysis

JEL Classification: E31, F14, F31

Suggested Citation

Alvarez, Renzo and Shoja, Amin and Uddin, Syed and Yilmazkuday, Hakan, Daily Exchange Rate Pass-Through into Micro Prices (May 3, 2018). Applied Economics Letters, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2911679 or http://dx.doi.org/10.2139/ssrn.2911679

Renzo Alvarez

Florida International University (FIU), College of Arts & Sciences, Department of Economics, Students ( email )

Miami, FL 33199
United States

Amin Shoja

Florida International University (FIU), College of Arts & Sciences, Department of Economics, Students ( email )

Miami, FL 33199
United States

Syed Uddin

Florida International University (FIU), College of Arts & Sciences, Department of Economics, Students ( email )

Miami, FL 33199
United States

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

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