Board of Governors of the Federal Reserve System, International Finance Discussion Paper 740. For the case of U.S. and Canadian prices, see Charles Engel and John H. Rogers (1996), "How Wide Is the Border?" American Economic Review, vol. 80, pp. 1112-25.  shocks that in the past would have surely produced marked economic disruption, offers clear evidence of the benefits of increased market flexibility.
Kimura, Takeshi and Jouchi Nakajima (2013), “Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach,” Bank of Japan Working Paper, No. 13-E-7, May 2013. Shibamoto, Masahiko and Minoru Tachibana (2013), “The Effect of Unconventional Monetary Policy on the Macro Economy: Evidence from Japan’s Quantitative Easing Period,” RIEB Discussion Paper, Kobe University, April 2013.