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Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index
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S.Mahdi Barakchian   , Ahamd Barkish * , Mohsen Valizadeh |
| , a.barkish@gamil.com |
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Abstract: (8947 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. |
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| Keywords: State-space model, Breitung-Candelon test, Wavelet analysis, Exchange rate pass-through to CPI |
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Full-Text [PDF 840 kb]
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Type of Study: Research |
Subject:
Special
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