Event start date: 04.03.2021 14:00

On 4 March 2021, the National Bank of Ukraine hosted an open research seminar, during which John Lewis (Bank of England) presented the research "Non-linearities, asymmetries and dollar currency pricing in exchange rate pass-through: evidence from the sectoral level". In this study, the author investigates pass-through of exchange rate changes into UK import prices for 55 sectors using sector-specific exchange rate indices. Findings suggest not only substantial sectoral variation in pass-through, but also the fact that compositional effects have not generated much variation in aggregate pass-through over time. Aggregated sectoral results reveal that 74% of exchange rate changes are passed through to aggregate import prices in the long run. Pass-through is faster for larger exchange rate changes than smaller ones; and for movements driven by the US dollar than for broader based exchange rate changes. This greater sensitivity to the dollar exchange rate changes suggests the US dollar is used as a vehicle currency for invoicing some imports from non-US countries. No evidence is found of a comparable role for the euro nor for asymmetries in pass-through at the aggregate level.

Materials from the seminar are available via links below.