Conditional Exchange Rate Pass-Through (ERPT) to Import Prices and Effects of a Change in Variance of the Shocks on ERPT: A DSGE Approach

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Borghei Matin Sadat; MOHAMADI TEYMOUR

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Paper Information

Journal: JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH Year:2018 | Volume:8 | Issue:31 Page(s): 45-60

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Title

Conditional Exchange Rate Pass-Through (ERPT) to Import Prices and Effects of a Change in Variance of the Shocks on ERPT: A DSGE Approach

Author(s)

Borghei Matin Sadat | MOHAMADI TEYMOUR | Issue Writer Certificate

Keywords

Exchange Rate Pass-through to Import PricesQ1

Small Open EconomyQ1

Dynamic Stochastic General Equilibrium ModelQ1

Standard Deviation of ShocksQ1

Abstract

In this paper, for analysis of exchange rate pass-through (ERPT) to import prices, a structural Dynamic Stochastic General Equilibrium Model is used and exchange rate is considered as an endogenous variable not exogenous. Therefor we can calculate exchange rate pass-through conditional on each shock. The advantage of this approach is that it shows to policy makers that ERPT conditional on each shock is different and policy maker should take the cause of the change, into account. Hence a Dynamic Stochastic General Equilibrium Model for Iran is presented and calibrated. Then by impulse response functions, ERPT conditional on different shocks (technology, oil revenues, foreign output, money demand, foreign interest rates and monetary policy shocks) has derived. Also, a test for the effects of the changes in variance of each shock on the degree of conditional ERPT has been performed. The standard deviations of the shocks affect the scale of the impulseresponse functions, but not their shape. This means that the relative magnitude of these responses and conditional measures of pass-through will not be altered by changes in the variance of the shocks.

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APA: Copy

Borghei, Matin Sadat, & MOHAMADI, TEYMOUR. (2018). Conditional Exchange Rate Pass-Through (ERPT) to Import Prices and Effects of a Change in Variance of the Shocks on ERPT: A DSGE Approach. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, 8(31 ), 45-60. SID. https://sid.ir/paper/192209/en

Vancouver: Copy

Borghei Matin Sadat, MOHAMADI TEYMOUR. Conditional Exchange Rate Pass-Through (ERPT) to Import Prices and Effects of a Change in Variance of the Shocks on ERPT: A DSGE Approach. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH[Internet]. 2018;8(31 ):45-60. Available from: https://sid.ir/paper/192209/en

IEEE: Copy

Matin Sadat Borghei, and TEYMOUR MOHAMADI, “Conditional Exchange Rate Pass-Through (ERPT) to Import Prices and Effects of a Change in Variance of the Shocks on ERPT: A DSGE Approach,” JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, vol. 8, no. 31 , pp. 45–60, 2018, [Online]. Available: https://sid.ir/paper/192209/en

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