New evidence for exchange rate pass-through: Disaggregated trade data from local ports

Abstract

For the estimation of exchange rate pass-through (henceforth ERPT), except for few evidences based on firm-level data, even the most disaggregated level of national export data is still biased with aggregation over sub-regions within an exporting country. We investigate to what extent this aggregation within product category is biased by comparing ERPT estimates across local ports. We use monthly exports at the HS 9-digit level from January 1988 to December 2005 for five major Japanese ports. In a panel data regression framework we control for exporting industry and importing country. Statistical tests provide strong evidence that export prices are set at different levels across local ports and that they correspond differently with respect to fluctuations of exchange rates. JEL classification code: F14, F31, F41.

A Pass-Through Revival

“…They utilize highly disaggregated data at the HS‐9 digit level to evaluate the extent of pass‐through, both by commodity and by destination. Yoshida () is a unique study which utilizes Japanese export price data at the local port level. Yoshida finds that there is a fair amount of heterogeneity across the ports with respect to responses of export prices to the exchange rate, even when the goods are disaggregated down to the HS‐9 level.…”

Industry‐specific Real Effective Exchange Rates and Export Price Competitiveness: The Cases of Japan, China, and Korea

“…See Parsons and Sato (), Ceglowski (), Yoshida (), and Shioji () for recent studies on exchange rate pass‐through of Japanese trade. Ito et al .…”

Time varying pass-through: Will the yen depreciation help Japan hit the inflation target?

“…Theoretically speaking, if people have rational expectations, a monetary authority, by firmly pre-committing itself to a monetary expansion in a future time when the zero bound no longer 3 On the export side, Parsons and Sato (2008) who utilize a very detailed data set on Japanese export prices. Also on the export side, Yoshida (2010) utilizes Japanese export price data at the local port level: he finds that there is a fair amount of heterogeneity across the ports with respect to responses of export prices to the exchange rate, even when the goods are disaggregated down to the HS-9 level. 4 To the author's knowledge, a time-varying parameter estimation method has been applied to the issue of exchange rate pass-through first by Sekine (2006).…”