Who bears the cost of a change in the exchange rate? Pass-through accounting for the case of beer

• 成果类型: Article
• 署名作者: Hellerstein, Rebecca
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2008.03.007
• 发表日期: 2008
• 页码: 14-32
• 关键词: cross-border transmission; pass-through accounting; exchange-rate pass-through; pricing to market

摘要

Nominal exchange rates are remarkably volatile. They ordinarily appear disconnected from the fundamentals of the economies whose currencies they price. These facts make up a classic puzzle about the international economy. If prices do not respond fully to changes in the nominal exchange rate, who bears the cost of such large and unpredictable changes: foreign firms, domestic firms, or domestic consumers? This study presents a new analysis of the sources of incomplete pass-through and then uses this analysis to re-examine its implications for social welfare. I develop and estimate a structural model that analyzes the sources of local-currency price stability for a particular industry. The model enables counterfactual simulations that quantify the relative importance of firms' local-cost components and markup adjustments in the incomplete transmission of exchange-Fate shocks to prices and the effect of the exchange-rate shock on domestic and foreign firms' profits and on consumer surplus. The model is applied to a panel dataset of one industry with retail and wholesale prices for UPC-level products. I find that markup adjustments by manufacturers and the retailer explain roughly half of the incomplete transmission and local-cost components account for the other half. Foreign manufacturers generally bear a greater cost (or reap a greater benefit) following an exchange-rate-induced marginal-cost shock than do domestic consumers, domestic manufacturers, or the domestic retailer. (C) 2008 Elsevier B.V. All rights reserved.