The authors thank the participants in various seminars for their invaluable comments and suggestions. They also thank Ms. Elizabeth Dunn and Ms. Mary Rafferty for their editorial assistance. The authors' institutional affiliations are provided solely for identification purposes. Views expressed are solely those of the authors. The standard disclaimer holds. This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors. The dataset used in the empirical part of this paper is available upon request to bona fide researchers for the replication and verification of the results. The Levy Economics Institute Working Paper Collection presents research in progress by LevyInstitute scholars and conference participants. The purpose of the series is to disseminate ideas to and elicit comments from academics and professionals.Levy Economics Institute of Bard College, founded in 1986, is a nonprofit, nonpartisan, independently funded research organization devoted to public service. Through scholarship and economic research it generates viable, effective public policy responses to important economic problems that profoundly affect the quality of life in the United States and abroad.

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This paper estimates the exchange rate pass-through (ERPT) by using good-level daily data on wholesale prices of imported agricultural products, where the identi…cation is achieved by using daily data on the domestic in ‡ation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal exchange rate changes are above 0:55 percent, daily frequencies of price change are above 3:12 percent, and storage life of a product is above 10 weeks. Important policy implications follow.

This paper estimates the exchange rate pass-through (ERPT) by using good-level daily data on wholesale prices of imported agricultural products, where the identi…cation is achieved by using daily data on the domestic in ‡ation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal exchange rate changes are above 0:55 percent, daily frequencies of price change are above 3:12 percent, and storage life of a product is above 10 weeks. Important policy implications follow.

No abstract