Exchange Rate Pass-Through and the Effects of Monetary Shock in a DSGE Model

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Hosseini Niloofar Sadat; ASGHARPUR HOSSEIN

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Paper Information

Journal: JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH Year:2021 | Volume:11 | Issue:42 Page(s): 131-152

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Title

Exchange Rate Pass-Through and the Effects of Monetary Shock in a DSGE Model

Author(s)

Hosseini Niloofar Sadat | ASGHARPUR HOSSEIN | Issue Writer Certificate

Keywords

DSGE

ERPT

Import Price Index

Open Economy

Monetary shocks

Abstract

The purpose of this study is to study Taylor's theory and investigating the effect of Monetary shocks on macroeconomic variables assuming the degree of exchange rate pass-through in different inflationary environments. In this study, the dynamic stochastic general equilibrium model for a small Open Economy has been used. In this framework, effects of monetary shock were investigated in Iran during 1988: 1˗ 2014: 4. and the inflation regimes and the degree of exchange rate passthrough have been investigated using a smooth transmission regression model. The empirical findings show that Taylor's hypothesis is confirmed. In other hands, the degree of exchange rate pass-through is high in an economy with high inflation. Due to a monetary shock, volatility of macroeconomic variables is high, assuming a high degree of exchange rate pass-through in the inflationary environments.

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APA: Copy

Hosseini, Niloofar Sadat, & ASGHARPUR, HOSSEIN. (2021). Exchange Rate Pass-Through and the Effects of Monetary Shock in a DSGE Model. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, 11(42 ), 131-152. SID. https://sid.ir/paper/955268/en

Vancouver: Copy

Hosseini Niloofar Sadat, ASGHARPUR HOSSEIN. Exchange Rate Pass-Through and the Effects of Monetary Shock in a DSGE Model. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH[Internet]. 2021;11(42 ):131-152. Available from: https://sid.ir/paper/955268/en

IEEE: Copy

Niloofar Sadat Hosseini, and HOSSEIN ASGHARPUR, “Exchange Rate Pass-Through and the Effects of Monetary Shock in a DSGE Model,” JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, vol. 11, no. 42 , pp. 131–152, 2021, [Online]. Available: https://sid.ir/paper/955268/en

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