The Speed of Exchange Rate Pass-Through

On January 15, 2015, the Swiss National Bank discontinued its minimum exchange rate policy of 1 euro against 1.2 Swiss francs. This policy change resulted in a sharp, unanticipated, and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the pass-through of this unusually clean exchange rate shock into import unit values at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euros, the pass-through is immediate and complete. Second, for goods invoiced in Swiss francs, the pass-through is partial and exceptionally fast: beginning on the second working day after the exchange rate shock, the medium-run pass-through is reached after 12 working days.