Asymmetry of Exchange rate pass-through Shocks on Import prices with an Emphasis on Regime Change

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ESKANDARIPOUR Z.; ESFANDIARI M.

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Journal Paper

Paper Information

Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2019 | Volume:8 | Issue:29 Page(s): 215-237

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Information Journal Paper

Title

Asymmetry of Exchange rate pass-through Shocks on Import prices with an Emphasis on Regime Change

Author(s)

ESKANDARIPOUR Z. | ESFANDIARI M. | Issue Writer Certificate

Keywords

Import PricesQ1

Exchange Rate Pass-throughQ1

AsymmetryQ2

Markov-Switching RegressionQ1

Exchange Rate ShocksQ2

Abstract

The main purpose of this study is to review the Asymmetry of exchange rate passthrough shocks on Import Prices with an emphasis on regime change during 1974-2016. Thus, the Hodrick-Prescott filter has been used to detect an unanticipated exchange rate and Markov switching model to regime changes. The findings of this study show that the import price in Iran follows a two-regime model, and the unpredictable negative and positive exchange shocks are asymmetrically involved in the formation of the degree of Exchange Rate Pass-through on the import price in each of the pricing regimes. So that the effect of negative shocks is more severe compared to the same shocks. The prime cost on the production of imported goods in outside of the country, domestic demand and commercial openness also have a positive and significant impact on Import Prices in both price regimes.

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APA: Copy

ESKANDARIPOUR, Z., & ESFANDIARI, M.. (2019). Asymmetry of Exchange rate pass-through Shocks on Import prices with an Emphasis on Regime Change. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 8(29 ), 215-237. SID. https://sid.ir/paper/383647/en

Vancouver: Copy

ESKANDARIPOUR Z., ESFANDIARI M.. Asymmetry of Exchange rate pass-through Shocks on Import prices with an Emphasis on Regime Change. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2019;8(29 ):215-237. Available from: https://sid.ir/paper/383647/en

IEEE: Copy

Z. ESKANDARIPOUR, and M. ESFANDIARI, “Asymmetry of Exchange rate pass-through Shocks on Import prices with an Emphasis on Regime Change,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 8, no. 29 , pp. 215–237, 2019, [Online]. Available: https://sid.ir/paper/383647/en

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