  The vast literature on exchange rate fluctuations estimates the exchange rate
pass-through (ERPT). Most ERPT studies consider annually aggregated data for
developed or large developing countries for estimating ERPT. These estimates
vary widely depending on the type of country, data coverage, and frequency.
However, the ERPT estimation using firm-level high-frequency export data of a
small developing country is rare. In this paper, I estimate the pricing to
market and the exchange rate pass-through at a monthly, quarterly, and annual
level of data frequency to deal with aggregation bias. Furthermore, I
investigate how delivery time-based factors such as frequent shipments and
faster transport affect a firm`s pricing-to-market behavior. Using
transaction-level export data of Bangladesh from 2005 to 2013 and the Poisson
Pseudo Maximum Likelihood (PPML) estimation method, I find very small pricing
to the markets to the exchange rates in the exporter's price. As pass-through
shows how the exporters respond to macro shocks, for Bangladesh, this low
export price response to the exchange rate changes indicates that currency
devaluation might not have a significant effect on the exporter. The minimal
price response and high pass-through contrast with the literature on incomplete
pass-through at the annual level. By considering the characteristics of the
firms, products, and destinations, I investigate the heterogeneity of the
pass-through. The findings remain consistent with several robustness checks.
