EXCHANGE RATE PASS-THROUGH INTO IMPORT PRICE IN IRAN ECONOMY WITH EMPHASIS ON VOLATILITY OF OIL REVENUES (NONLINEAR APPROACH)

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MESBAHI MANA; ASGHARPOUR HOSEIN; HAGHIGHAT JAFAR; KAZEROUNI ALI REZA; FALLAHI FIROUZ

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Journal: Journal of Economic Modelling Year:2017 | Volume:11 | Issue:1 (37) Page(s): 77-100

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Title

EXCHANGE RATE PASS-THROUGH INTO IMPORT PRICE IN IRAN ECONOMY WITH EMPHASIS ON VOLATILITY OF OIL REVENUES (NONLINEAR APPROACH)

Author(s)

Keywords

IMPORT PRICE REGIMEQ1

EXCHANGE RATE PASS-THROUGHQ1

VOLATILITY OF OIL REVENUESQ1

MARKOV-SWITCHINGQ1

EGARCHQ2

Abstract

The main objective of this paper is to investigate the impacts of fundamental variables and volatility of oil revenue (as one of the most important of environment prevailing components in Iran economy) on degree of exchange rate pass through (ERPT) into import price. For this, MARKOV-SWITCHING and EGARCH methods were used on the base of data for 1990: 3 to 2014: 1. The findings indicate that there are two ERPT into IMPORT PRICE REGIMEs in Iran economy. The ERPT is more than unitary in both regimes. Also, VOLATILITY OF OIL REVENUES has asymmetric impacts on ERPTs of regimes in terms of size and sign but it increases ERPT into import price in both regimes. Therefore, managing of VOLATILITY OF OIL REVENUES and exchange rate changes are suggested.

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APA: Copy

MESBAHI, MANA, ASGHARPOUR, HOSEIN, HAGHIGHAT, JAFAR, KAZEROUNI, ALI REZA, & FALLAHI, FIROUZ. (2017). EXCHANGE RATE PASS-THROUGH INTO IMPORT PRICE IN IRAN ECONOMY WITH EMPHASIS ON VOLATILITY OF OIL REVENUES (NONLINEAR APPROACH). ECONOMIC MODELLING, 11(1 (37)), 77-100. SID. https://sid.ir/paper/176302/en

Vancouver: Copy

MESBAHI MANA, ASGHARPOUR HOSEIN, HAGHIGHAT JAFAR, KAZEROUNI ALI REZA, FALLAHI FIROUZ. EXCHANGE RATE PASS-THROUGH INTO IMPORT PRICE IN IRAN ECONOMY WITH EMPHASIS ON VOLATILITY OF OIL REVENUES (NONLINEAR APPROACH). ECONOMIC MODELLING[Internet]. 2017;11(1 (37)):77-100. Available from: https://sid.ir/paper/176302/en

IEEE: Copy

MANA MESBAHI, HOSEIN ASGHARPOUR, JAFAR HAGHIGHAT, ALI REZA KAZEROUNI, and FIROUZ FALLAHI, “EXCHANGE RATE PASS-THROUGH INTO IMPORT PRICE IN IRAN ECONOMY WITH EMPHASIS ON VOLATILITY OF OIL REVENUES (NONLINEAR APPROACH),” ECONOMIC MODELLING, vol. 11, no. 1 (37), pp. 77–100, 2017, [Online]. Available: https://sid.ir/paper/176302/en

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