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:: Volume 28, Issue 96 (Quarterly journal of economic research and policies 2021) ::
3 2021, 28(96): 11-20 Back to browse issues page
Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index
S.Mahdi Barakchian, Ahamd Barkish , Mohsen Valizadeh
, a.barkish@gamil.com
Abstract:   (6025 Views)
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.
Keywords: State-space model, Breitung-Candelon test, Wavelet analysis, Exchange rate pass-through to CPI
     
Type of Study: Research | Subject: Special
Received: 2020/08/23 | Accepted: 2021/03/19 | Published: 2021/03/19
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Barakchian S, Barkish A, valizadeh M. Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index. 3. 2021; 28 (96) :11-20
URL: http://qjerp.ir/article-1-2796-en.html


Volume 28, Issue 96 (Quarterly journal of economic research and policies 2021) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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