Time-varying pass-through from import prices to consumer prices: evidence from an event study with real-time data

Marlene Amstad and Andreas Fischer ()

No 228, Staff Reports from Federal Reserve Bank of New York

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 pass-through findings.

Keywords: Consumer price indexes; Imports - Prices; Inflation (Finance) (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-for, nep-mac and nep-mic
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data (2006)
Working Paper: Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data (2005)
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