چکیده:
This article investigates the pass-through of exchange rate shocks into import, wholesale and consumer price indexes in Iran by using a monthly data set for the period 1990-2006. The baseline analysis is carried out with identified an unrestricted vector autoregressive model. Impulse response functions show that pass-through is incomplete. Moreover, the price effect of an exchange rate shock is more pronounced in the case of import price relative to wholesale and consumer prices. Variance decomposition method indicates exchange rate shocks are important in explaining the variance of the prices. Also the variance of exchange rate has the biggest share in explaining the CPI inflation. These results are remarkably robust to a number of alternative specifications of the model.
خلاصه ماشینی:
"In order to determine the linkage between exchange rate movements and domestic producer prices, Feinberg (2000) examines Colombia, Korea, and Morocco as three developing countries and Hüfner and Schröder (2002) studies the pass-through of exchange rate changes to consumer prices for the euro area by estimating vector error correction models for Germany, France, Italy, the Netherlands and Spain.
In order to examine the exchange rate pass-through into the prices in each stage of distribution, this research utilizes an unrestricted Vector Autoregressive (VAR) model which account for endogeneity of the variables.
6- Summary and Conclusion This study investigated the pass-through of exchange rate shocks into import, wholesale and consumer price indexes in Iran by using a monthly data set for the period 1990-2006.
2- Figures Exchange Rate Pass-Through into Import Price Index (MPI) ,Wholesale Price Index (WPI), Consumer Price Index (CPI) Figure (A-2-3): Exchange Rate Pass-Through into Price Indexes Figure (A-2-4): Accumulated Exchange Rate Pass-Through into Price Indexes ] Figure (A-2-5): Accumulated Exchange Rate Pass-Through into Price Indexes in the Models with and without GAP B- Tables Table ( B-1) Augmented Dickey Fuller Unit Root Test (ADF) Variable With Intercept With Intercept and Trend Level First Difference Level First Difference LEXR ADF(0)=-1.
9415 Table(B-9):Variance Decomposition of DLCPI Exchange Rate Pass-Through to into Price Indexes in the Model without GAP Table (B-10):Response of DLMPI*, DLWPI* and DLCPI* to one unit DLEXR Innovation Period DLMPI* DLWPI* DLCPI* 1 0 0 0 2 0."