Exchange Rate Pass-Through into Import Price in Iran Economy with Emphasis on Volatility of Oil Revenues (Nonlinear Approach)

Subject Areas : Labor and Demographic Economics

Mana Mesbahi ¹ , Hosein Asgharpour ² , Jafar Haghighat ³ , Seyed Alireza Kazerooni ⁴ , firooz fallahi ⁵

1 - Ph.d Student in Economics, University of Tabriz
2 - Asssociate Professor in Economics, University of Tabriz
3 - استاد اقتصاد دانشگاه تبریز
4 - تبریز، دانشگاه تبریز، دانشکده اقتصاد، مدیریت و بازرگانی، گروه اقتصاد
5 - دانشگاه تبریز

Received: 2017-06-07 Accepted : 2017-06-07 Published : 2017-05-22

Keywords: EGARCH, Exchange rate pass-through, JEL Classification: C22, F31, E42. Keywords: Import Price Regime, Volatility of Oil Revenues, Markov-Switching,

Abstract :

Abstract The main objective of this paper is to investigate the impacts of fundamental variables and volatility of oil revenue (as one of the most important of environment prevailing components in Iran economy) on degree of exchange rate pass through (ERPT) into import price. For this, Markov-Switching and EGARCH methods were used on the base of data for 1990:3 to 2014:1. The findings indicate that there are two ERPT into import price regimes in Iran economy. The ERPT is more than unitary in both regimes. Also, volatility of oil revenues has asymmetric impacts on ERPTs of regimes in terms of size and sign but it increases ERPT into import price in both regimes. Therefore, managing of volatility of oil revenues and exchange rate changes are suggested.

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