THE IMPACT OF EXCHANGE RATE VOLATILITY ON THE EXCHANGE RATE PASS-THROUGH IN IRAN (TVP APPROACH)

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KAZEROONI ALIREZA; SALMANI BEHZAD; FESHARI MAJID

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Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2012 | Volume:1 | Issue:2 Page(s): 85-114

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Title

THE IMPACT OF EXCHANGE RATE VOLATILITY ON THE EXCHANGE RATE PASS-THROUGH IN IRAN (TVP APPROACH)

Author(s)

KAZEROONI ALIREZA | SALMANI BEHZAD | FESHARI MAJID | Issue Writer Certificate

Keywords

EFFECTIVE EXCHANGE RATE VOLATILITYQ2

EXCHANGE RATE PASS-THROUGHQ1

GARCH APPROACHQ2

TVP TECHNIQUEQ2

Abstract

The main objective of this paper is to investigate the impact of exchange rate volatility on the EXCHANGE RATE PASS-THROUGH in Iran during the 1975-2009. For this purpose, the exchange rate volatility has been developed by GARCH APPROACH and the research model has been estimated by applying TVP TECHNIQUE.The empirical results of this study indicate that exchange rate volatility has positive and other explanatory variables such as output gap, marginal cost of exporting countries and exchange rate have had positive and significant effects on the import price index.The main conclusion reveals that the exchange rate volatility reinforces the EXCHANGE RATE PASS-THROUGH in Iranian economy.

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APA: Copy

KAZEROONI, ALIREZA, SALMANI, BEHZAD, & FESHARI, MAJID. (2012). THE IMPACT OF EXCHANGE RATE VOLATILITY ON THE EXCHANGE RATE PASS-THROUGH IN IRAN (TVP APPROACH). JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 1(2), 85-114. SID. https://sid.ir/paper/226555/en

Vancouver: Copy

KAZEROONI ALIREZA, SALMANI BEHZAD, FESHARI MAJID. THE IMPACT OF EXCHANGE RATE VOLATILITY ON THE EXCHANGE RATE PASS-THROUGH IN IRAN (TVP APPROACH). JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2012;1(2):85-114. Available from: https://sid.ir/paper/226555/en

IEEE: Copy

ALIREZA KAZEROONI, BEHZAD SALMANI, and MAJID FESHARI, “THE IMPACT OF EXCHANGE RATE VOLATILITY ON THE EXCHANGE RATE PASS-THROUGH IN IRAN (TVP APPROACH),” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 1, no. 2, pp. 85–114, 2012, [Online]. Available: https://sid.ir/paper/226555/en

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