Template-type: ReDIF-Paper 1.0
Author-Name: Barthélémy Bonadio
Author-Name-First: Barthélémy
Author-Name-Last: Bonadio
Author-Name: Andreas M. Fischer
Author-Name-First: Andreas M.
Author-Name-Last: Fischer
Author-Person: pfi23
Author-Name: Philip U. Sauré
Author-Name-First: Philip U.
Author-Name-Last: Sauré
Author-Person: psa635
Title: The speed of exchange rate pass-through
Abstract: On January 15, 2015, the Swiss National Bank discontinued its minimum exchange rate policy of one euro against 1.2 Swiss francs. This policy shift resulted in a sharp, unanticipated and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the pass-through of this unusually clean exchange rate shock into import unit values at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euros, the pass-through is immediate and complete. Second, for goods invoiced in Swiss francs, the pass-through is partial and exceptionally fast, beginning on the second working day after the exchange rate shock and reaching the medium-run pass-through after twelve working days on average.
Length: 89 pages
Creation-Date: 2018
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2018/working_paper_2018_05
File-Format: text/html
Number: 2018-05
Classification-JEL: F14, F31, F41
Keywords: Daily exchange rate pass-through, speed, large exchange rate shock
Handle: RePEc:snb:snbwpa:2018-05