Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index

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Barakchian S.Mahdi; Barkish Ahamd; Valizadeh AbolMohsen

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: JOURNAL OF ECONOMIC RESEARCH AND POLICIES Year:2021 | Volume:28 | Issue:96 Page(s): 33-64

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Title

Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index

Author(s)

Barakchian S.Mahdi | Barkish Ahamd | Valizadeh AbolMohsen | Issue Writer Certificate

Keywords

State-space model

Breitung-Candelon test

Wavelet analysis

Exchange rate pass-through to CPI

Abstract

The purpose of this study is to find an accurate estimate of the exchange rate-CPI relationship in Iran over the past three decades. The results of the Granger causality test in the frequency domain demonstrate a strong causation from the exchange rate to CPI especially in the long run. The results of the wavelet analysis show that in the currency crisis periods, the exchange rate-CPI correlation rises not only for the long run (low frequencies) but for the short run (high frequencies). According to the results of the state-space model, the exchange rate pass-through jumps in the currency crisis periods, consistent with the results obtained via the wavelet analysis.

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APA: Copy

Barakchian, S.Mahdi, Barkish, Ahamd, & Valizadeh, AbolMohsen. (2021). Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 28(96 ), 33-64. SID. https://sid.ir/paper/964201/en

Vancouver: Copy

Barakchian S.Mahdi, Barkish Ahamd, Valizadeh AbolMohsen. Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2021;28(96 ):33-64. Available from: https://sid.ir/paper/964201/en

IEEE: Copy

S.Mahdi Barakchian, Ahamd Barkish, and AbolMohsen Valizadeh, “Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 28, no. 96 , pp. 33–64, 2021, [Online]. Available: https://sid.ir/paper/964201/en

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