Input-Output Analysis of Exchange Rate Pass-Through

2017 Fiscal Year Final Research Report

• Project/Area Number: 16K13374
• Research Category: Grant-in-Aid for Challenging Exploratory Research
• Allocation Type: Multi-year Fund
• Research Field: Money/ Finance
• Research Institution: Yokohama National University
• Principal Investigator: Sato Kiyotaka 横浜国立大学, 大学院国際社会科学研究院, 教授 (30311319)
• Research Collaborator: HOANG Huong Le Thu Foreign Trade University, Faculty of Japanese Language, Lecturer
• Project Period (FY): 2016-04-01 – 2018-03-31
• Keywords: 為替レートのパススルー / 産業連関分析 / 国際価値連鎖 / 貿易建値通貨

Outline of Final Research Achievements

This research proposes a new empirical approach to the exchange rate pass-through (ERPT) in Japanese imports using an Input-Output (IO) analysis. By employing the Japanese IO tables of 2000, 2005, and 2011. we demonstrate that, contrary to the stylized fact, the extent of ERPT to domestic producer prices should be significantly higher than empirical results of the conventional ERPT analysis. Conducting a panel estimation of ERPT determinants, we show that a large dependence on intermediate input imports tends to increase the extent of ERPT. More importantly, we reveal that if manufacturing sectors tend not only to import intermediate inputs from abroad but also to export their products to foreign countries, the degree of import pass-through to producer prices increases significantly. Thus, growing international production sharing will have a positive impact on ERPT to domestic producer prices.

Free Research Field

国際金融