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Working Paper

Price change dispersion and time-varying pass-through to consumer prices

December 21, 2016
Issue 2016-17

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Abstract

This paper examines the relationship between the dispersion of changes in prices and the medium-run exchange rate pass-through in Swiss data. The prices considered are the elementary indices that form the basic building blocks for the construction of the CPI. The results indicate that uctuations in the crosssectional dispersion of changes in these price indices inform about variation in aggregate pass-through at business cycle frequencies. Because these data are readily available at monthly frequencies, they can be used in real time to help gauge the pass-through of exchange rate changes to retail prices.

Issue:
17
Pages:
43
JEL classification:
E30, E31, F31
Keywords:
Exchange rate pass-through, heterogeneity, aggregate implications of price change dispersion
Year:
2016

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Author(s)

  • Rita Fleer

  • Dr. Barbara Rudolf

  • Mathias Zurlinden

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