The Impact of Inflationary Environment on Exchange Rate Pass- Through to the Import Price Index in Iran

Document Type : Research Paper

Authors

1 Associate Professor in Economics, University of Tabriz

2 Professor in Economics, University of Tabriz

3 Ph.D. Student in Economics, University of Tabriz

Abstract

Exchange rate as one of the key variables of the economy plays an important role in determining the import price index. Therefore, knowledge of the empirical relationship between exchange rate and import price index, which is known in economic literature as Exchange Rate Pass-Through is important and can help economic officials on how choose their economic policies. Empirical studies conducted during the past decade show that the Exchange Rate Pass-Through on the import price index is affected by many factors such as inflation. According to the fact that during the last three decades, Iran's economy has experienced relatively high and persistent rate of inflation, in this study by using time series data over the period of 1971- 2012, examined the role of inflation in exchange rate pass-through to the import price index.Results indicate an incomplete pass-through of exchange rates to the import price index. The results also indicate that the exchange rate pass- through to import price index increases in high and intermediate levels of inflation, however, the pass-through in the high inflation level is lower than intermediate inflation.

Keywords

References

  1. 1. اصغرپور، حسین، سجودی، سکینه و مهین اصلانی نیا، نسیم (1390). تحلیل تجربی میزان انتقال اثر نرخ ارز بر قیمت صادرات غیرنفتی ایران. پژوهش­های اقتصادی، سال یازدهم، 3، 34-11.

    2. بانک اطلاعات سری زمانی بانک مرکزی. برگرفته از: www.tsd.cbi.ir

    3. ترکمانی، جواد، و طرازکار، محمد حسن (1384). اثر تغییرات نرخ ارز بر قیمت صادرات پسته: کاربرد روش خود توضیح گسترده (ARDL). اقتصاد کشاورزی و توسعه، سال 13، 49، 96-83.

    4. حساب­های ملی مرکز آمار ایران. برگرفته از: www.amar.org.ir

    5. تشکینی، احمد (1384). تحلیل تجربی تورم در اقتصاد ایران. فصلنامه پژوهشنامه بازرگانی، سال نهم، 36، ، 105-75.

    6. حقیقت، جعفر، و حسین پور، رسول (1388). اثر انتقالی نرخ ارز بر قیمت صادارت کشمش در ایران. پژوهشنامه علوم اقتصادی، سال نهم، 1، 54-33.

    7. خوشبخت، آمنه، و اخباری، محمد (1386). بررسی فرآیند اثر گذاری تغییرات نرخ ارز بر تورم شاخص­های مصرف کننده و واردات در ایران. فصلنامه پژوهش­های اقتصادی ایران، سال 7، 4، 82-51.

    8. راتقی، مریم (1384). بررسی تأثیر نوسانات نرخ ارز بر شاخص قیمت­های WPI)، CPI،PM). پایان نامه کارشناسی ارشد، دانشکده اقتصاد دانشگاه تهران، تهران.

    9. شجری، هوشنگ، طیبی سید کمیل، و جلائی، سید عبدالمجید (1384). تحلیل انتقال اثر نرخ ارز در ایران. مجله دانش و توسعه، 16، 73-51.

    10. شجری هوشنگ، طیبی، سیدکمیل، و جلایی، سید عبدالمجید (1385).انتقال اثر نرخ ارز و رابطه آن با سیاست­های پولی و درجه باز بودن اقتصاد در ایران بهروش سیستم­های فازی عصبی. فصلنامه پژوهش­های اقتصادی ایران، سال 8، 26، 179-153.

    11. کازرونی، علیرضا، سلمانی، بهزاد، و فشاری، مجید (1391). تأثیر بی ثباتی نرخ ارز بر درجه انتقال اثر نرخ ارز در ایران رهیافت (TVP). فصلنامه مطالعات کاربردی در ایران، سال 1، 2، 114-52.

    12. لوح فشرده آمارهای مالی صندوق بین المللی پول(IFS).

    13. موسوی محسنی، رضا، و سبحانی پور، مینا (1387). بررسی انتقال اثر نرخ ارز در ایران. فصلنامه پژوهش­های اقتصادی ایران، ویژه طرح تعدیل اقتصادی، 4، 129- 149.

    14. نوفرستی، محمد (1387). ریشه واحد و هم انباشتگی در اقتصاد سنجی. تهران، موسسه خدمات فرهنگی رسا.

     

    1. Aziz, Nustra(2009). Exchange rate pass- through to import, export and domestic prices: evidence from a developing country. International Monetary Fund, Working paper.

    2. Aguerre, R.B., Fuertes, A. M., and Phylaktis, K. (2012). Exchange ratepass- through into import prices revisited.Journal of International Money, 31(3),818- 844.

    3. Albuqueraue R., Christian, & Portugal, Marcelo(2006). Exchange rate and inflation volatility. Banco Central Do Brazil, Working paper.

    4.  Bailliu, Jeannine, & Fujii, Eiji (2004). Exchange rate pass-through and the inflation environment in industrialized countries. Bank of Canada, Working paper.

    5. Barhoumi, Karim(2005). Differences in long run exchange rate pass-through into import prices in developing countries: an empiricalinvestigation. GREQAM, Working paper.

    6. Byrne, j., Chavali, A.S., and Kontonikas, A. (2010). Exchange rate pass-through to import prices: panel evidence from emerging market economies. Department of Economics, University of Glasgow, working paper: 1- 31.

    7. Campa, J., & Goldberg, L. S. (2002). Exchange rate pass- through into import prices: A macro or micro phenomenon?. Federal Reserve Bank of New York and NBER, IESE Business School and NBER.

    8. Campa, J. M., Goldberg L. S., & Gonzalez J. M. (2005). Exchange rate pass- through to import prices in the Euro Area. Federal Reserve Bank of New York Staff Reports, 21(4), 23- 48.

    9. Ceglowski, J. (2010). Exchange rate pass- through to bilateral import prices. Journal of International Money and Finance, 29(3), 1637- 1651.

    10. Choudhri, E.U., and Hakura, D.S., (2001). Exchange rate pass-through to domestic prices: Does the inflationary environment matter?, Journal of International Money and Finance, 25(6), 614– 639.

    11. Dornbusch, R. (1987). Exchange rates and prices, American Economic, 77(4), 765- 84.

    12. Dramani, John Bosco, & Tandoh, Francis (2011). Exchange rate pass through to import prices: evidence from Ghana. The African Finance Journal, 13(2), 110-121.

    13. Duasa, Jarita (2009). Exchange rate shock on Malaysian prices of imports and exports: an empirical analysis. Journal of Economic cooperation and Development, 30(7), 131- 152.

    14. Enders, W. (2004). Applied Econometric Time Series. University of Alabama. Willey Press.

    15. Ghosh, A., and Rajan, R.S. (2009). Exchange rate pass-through in Korea and Thailand: trends and determinants. Japan and World Economy, 21(3), 55- 70.

    16. Golberman, Ashley, and Stroter, Toni (2005). Volatility of the exchange rate and inflation environment on the degree of exchange rate pass-through in Canada. Dalhousie University, Working paper.

    17. Goldberg, pinelopi K., and Micheal M. Knetter (1997). Goods prices and exchange rates: what have we leared?. Journal of Economic Literature, 35(4), 1243- 1272.

    18. Jimborean, Ramona (2013). The exchange rate pass- through in the New EU Member States. Economic Systems, 37(2), 302- 329.

    19. Junttila, J., and Korhonen, M. (2012). The role of inflation regime in the exchange rate pass- through to import prices. International Review of Economics and Finance, 24(4), 88- 96.

    20. Kardasz, S. W., & Stollery, K. R. (2001). Exchange rate pass- through and its determinants in Canadian manufacturing industries. Canadian Economics, 34(3), 73- 88.

    21. Kipta, M., Ndolo D., & Kaminchia S. (2005). Exchange rate pass- through: to what extent do exchange rate fluctuations affect import prices and inflation in Kenya?, Central Bank of Kenya., Working Paper.

    22. Lin, P.C., and Wu, C.S. (2012). Exchange rate pass- through in deflation: the case of Taiwan. International Review of Economics and Finance, 22(5), 101- 111.

    23. Magee S. (1973). Currency contracts, pass- through and devaluation. Brooking Paper in Economic Activity, 12(3), 303- 323.

    24. Mario, Seccareccia (2012). Exchange rate pass- through: Experience from selected OECD countries. Ottawa University, Working paper.

    25. Marrazi, Mario, & Sheets Nathan (2006). Decline exchange rate pass- through to import U.S. prices.Board of Governors of the Federal Reserve System, Working paper.

    26. Mc Carthy J. (1999). Pass- through of exchange rate and import prices to domestic inflation in some industrialized economies. Working paper, 79(3), 62- 79.

    27. Otani, A., Shirasuka Sh., & Shirota T. (2003). The decline in the exchange rate pass- through: evidence from Japanese import prices. IMES Discussion Paper Series; Monetary and Economic Studies.

    28. Rowland, Peter (2001). Exchange rate pass-through to domestic prices: the case of Colombia investigation. Economic Modelling, 23(4), 926- 951.

    29. Sowah, A.N. (2009). Is there a link between exchange rate pass-through and the monetary regime: evidence from Sub-Saharan Africa and Latin America. Journal of International Atlantic Economic Society, 25(4), 296- 309.

    30. Sowah, A.N. (2009). Exchange rate pass- through and monetary regime in developing and emerging economies: is there a link?, PhD thesis, Clark University, Department of Economics, 1- 154.

    31. Taylor, J. B. (2000). Low inflation, pass- through and the pricing power of firms. European Economic Review, 44(7), 1389- 1408.

     

Quarterly Journal of Applied Theories of Economics
Volume 2, Issue 2 - Serial Number 2
September 2015
Pages 155-178

Files

Share

How to cite

Statistics