Cover IMF Working Papers
New Keynesian Exchange Rate Pass-Through
Author:
Mr. David Cook
Search for other papers by Mr. David Cook in
Current site
Google ScholarClose
and
Woon Gyu Choinull

Search for other papers by Woon Gyu Choi in
Current site
Google ScholarClose
Series:
IMF Working Papers
Volume/Issue:
Volume 2008: Issue 213
Language:
English
Publication Date:
01 Sep 2008
DOI:
https://doi.org/10.5089/9781451870718.001
ISBN:
9781451870718
ISSN:
1018-5941
Pages:
25
Keywords:
WP
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (250.9 KB) Download Epub
Using the theory of optimal local currency pricing, this paper constructs a structural equation to estimate the rate at which foreign producer prices pass through the local currency prices of imported goods in the U.S. This can be viewed as measuring exchange rate pass-through, in line with price stickiness in the New Keynesian Phillips curve literature. We estimate the structural equation using the generalized methods of moments for consistent estimates of exchange rate pass-through. We find that a model with a mix of local currency pricing and producer currency pricing fits the data best. The estimate of price stickiness in import prices is comparable to existing estimates of domestic price stickiness.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2008: Issue 213