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:: Volume 32, Issue 110 (quarterly journal of economic research and policies 2024) ::
qjerp 2024, 32(110): 160-194 Back to browse issues page
Estimation of Exchange rate pass-through in Iran’s multiple exchange rate system
Hamid Zamanzadeh *
MBRI , h.zamanzadeh@mbri.ac.ir
Abstract:   (547 Views)
The effect of exchange rate change on prices, which is known as exchange rate pass-through in economic literature, has been one of the important factors of inflationary pressures in Iran's economy. In order to estimate the degree of exchange rate pass-through, a vector error correction model for Iran's macroeconomics with two long run structural relationships including the long run price relationship and the long run real production relationship. Considering that during the recent decades, Iran's economy has mainly witnessed the multiple exchange rate system, the estimation of the exchange rate pass-through based solely on the unofficial exchange rate and without considering the preferential rates cannot be relied upon. For this reason, the estimated model includes three exchange rates (the unofficial exchange rate, and tow preferential exchange rate (Nima and Mobadele) to exchange rate pass-through can be estimated separately for each rate. The results indicate that the degree of exchange rate pass-through for the preferential exchange rates (Mobadele and Nima) in the long run (six years) is equal to 8/9% and 8/4% and in the case of fixing preferential rates, the degree of exchange rate pass-through will decrease from 2/46% to 6/30%. The results also indicate that although the fixing of preferential exchange rates leads to a decrease in the degree of exchange rate pass-through during the stabilization period, but it will increase in the same proportion during the adjustment period of the preferential exchange rates.
Keywords: Multiple exchange rate system, Preferential exchange rate, Price, Exchange rate pass-through, VECM.
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Type of Study: Applicable | Subject: Special
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Zamanzadeh H. Estimation of Exchange rate pass-through in Iran’s multiple exchange rate system. qjerp 2024; 32 (110) :160-194
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Volume 32, Issue 110 (quarterly journal of economic research and policies 2024) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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