A Non-Linear Investigation of Exchange Rate Pass-Through into the Import Price with an Emphasis on the Role of Inflation Volatility in Iran

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MESBAHI MANA; ASGHARPUR HOSSEIN; HAGHIGHAT JAFAR

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Journal: JOURNAL OF APPLIED THEORIES OF ECONOMICS Year:2018 | Volume:5 | Issue:2 Page(s): 27-54

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Title

A Non-Linear Investigation of Exchange Rate Pass-Through into the Import Price with an Emphasis on the Role of Inflation Volatility in Iran

Author(s)

MESBAHI MANA | ASGHARPUR HOSSEIN | HAGHIGHAT JAFAR | Issue Writer Certificate

Keywords

The import price regimeQ1

Exchange rate pass-throughQ1

Inflation volatilityQ1

Markov-SwitchingQ1

MS-GARCHQ1

Abstract

This article mainly aims to investigate the effects of the fundamental and environmental variables on the degree of Exchange rate pass-through (ERPT) into the import price during 1990: 3 to 2014: 1. Therefore, at first, the effect of exchange rate along with the effects of marginal cost in abroad, the degree of openness of economy and gross domestic production on the import price were investigated by using of Markov-Switching model. The experimental findings indicate that there are two regimes for the degree of ERPT into the import price of Iran; i. e. the low price regime and the high price regime and for both regimes the degree of ERPT is more than one unit. In the next stage, the Inflation volatility was quantified as one of the most important factors dominating Iran economy by the use of MS-GARCH approach. After that its effect, along with the effect of fundamental variables on the degree of ERPT were evaluated. The findings show that with the emergence of Inflation volatility in Iran economy, the degree of ERPT into import price will increase in both regimes.

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APA: Copy

MESBAHI, MANA, ASGHARPUR, HOSSEIN, & HAGHIGHAT, JAFAR. (2018). A Non-Linear Investigation of Exchange Rate Pass-Through into the Import Price with an Emphasis on the Role of Inflation Volatility in Iran. JOURNAL OF APPLIED THEORIES OF ECONOMICS, 5(2 ), 27-54. SID. https://sid.ir/paper/392406/en

Vancouver: Copy

MESBAHI MANA, ASGHARPUR HOSSEIN, HAGHIGHAT JAFAR. A Non-Linear Investigation of Exchange Rate Pass-Through into the Import Price with an Emphasis on the Role of Inflation Volatility in Iran. JOURNAL OF APPLIED THEORIES OF ECONOMICS[Internet]. 2018;5(2 ):27-54. Available from: https://sid.ir/paper/392406/en

IEEE: Copy

MANA MESBAHI, HOSSEIN ASGHARPUR, and JAFAR HAGHIGHAT, “A Non-Linear Investigation of Exchange Rate Pass-Through into the Import Price with an Emphasis on the Role of Inflation Volatility in Iran,” JOURNAL OF APPLIED THEORIES OF ECONOMICS, vol. 5, no. 2 , pp. 27–54, 2018, [Online]. Available: https://sid.ir/paper/392406/en

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