Effect of Exchange Rate Pass-through on Import Price Index: Smooth Transition Regression Approach

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Hoseyni Niloofar Sadat; ASGHARPUR HOSSEIN; HAGHIGHAT JAFAR

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Journal: Journal of Economic Research Year:2018 | Volume:53 | Issue:2 Page(s): 303-321

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Information Journal Paper

Title

Effect of Exchange Rate Pass-through on Import Price Index: Smooth Transition Regression Approach

Author(s)

Hoseyni Niloofar Sadat | ASGHARPUR HOSSEIN | HAGHIGHAT JAFAR | Issue Writer Certificate

Keywords

Smooth Transition RegressionQ1

Exchange rate Pass-throughQ1

Import Prices IndexQ2

Consumer Price IndexQ2

Iranian economyQ2

Abstract

The main objective of this research is to study the Taylor hypothesis (based on the role of the inflation environment) in Iran. For this purpose, seasonal time series data of the Iranian economy have been used during the 1988: Q1-2015: Q4 period and Smooth Transition Regression model has been used. The empirical findings show that the import price in the high inflationary regime is lower than the low inflationary one, and Taylor's hypothesis is confirmed. The degree of Exchange rate Pass-through to import price index under the low inflation regime is 0. 30414 and 0. 09061 in short and long run, respectively. In a high inflation regime, it is 0. 58202, 0. 72016 respectively in short and long run. Therefore, inflation control policies can have a positive impact on reducing the Exchange rate Pass-through to the import price index.

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APA: Copy

Hoseyni, Niloofar Sadat, ASGHARPUR, HOSSEIN, & HAGHIGHAT, JAFAR. (2018). Effect of Exchange Rate Pass-through on Import Price Index: Smooth Transition Regression Approach. TAHGHIGHAT-E-EGHTESADI, 53(2 ), 303-321. SID. https://sid.ir/paper/12039/en

Vancouver: Copy

Hoseyni Niloofar Sadat, ASGHARPUR HOSSEIN, HAGHIGHAT JAFAR. Effect of Exchange Rate Pass-through on Import Price Index: Smooth Transition Regression Approach. TAHGHIGHAT-E-EGHTESADI[Internet]. 2018;53(2 ):303-321. Available from: https://sid.ir/paper/12039/en

IEEE: Copy

Niloofar Sadat Hoseyni, HOSSEIN ASGHARPUR, and JAFAR HAGHIGHAT, “Effect of Exchange Rate Pass-through on Import Price Index: Smooth Transition Regression Approach,” TAHGHIGHAT-E-EGHTESADI, vol. 53, no. 2 , pp. 303–321, 2018, [Online]. Available: https://sid.ir/paper/12039/en

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