Estimating the exchange rate pass-through effect on producer prices of final products based on micro-data of Russian companies

Abstract

In this paper we directly estimate exchange rate pass-through (ERPT) to producer prices in some industries of final goods. For this we use survey data on import content of firms' costs according to the survey conducted by the Bank of Russia in yearly 2017. Thus, we contribute to existing ERPT estimates for Russia based on aggregate industry- or economy-wide data. In addition, to account for possible strategic complementarities and variable markups in the estimate of ERPT, we use the survey data and other industry data to calibrate the model by (Amiti, Itskhoki, Konings, 2016). Our results show, first, that ERPT of final goods' producers is around 0,18. Second, according to the survey data, ERPT is asymmetric. It is twice as lower for rouble appreciations as for its depreciations. Third, strategic complementarities in the agriculture and the food producing industry cause ERPT relatively stronger deviate from its direct estimate based on import content in production costs comparing to other industries. The results have important implications for estimating inflation volatility of food products in the consumer basket and for financial well-being of companies in the industries with high strategic complementarity.