بررسي گذر نرخ ارز در اقتصاد ايران

Exchange Rate Pass Through in Iran

This paper assesses the extent to which the movements in exchange rate affect import, wholesale and consumer prices in Iran. The exchange rate pass through to import and domestic prices is an important link in the process of monetary policy transmition, in particular as Iran moves to an inflation targeting regime. The empirical model is a recursive VAR, suggested by McCarthy (2000), to investigate the impact of exchange rate movements on prices by analysing data from spring 1373 to winter 1383. Impulse response function and variance decomposition are used to measure the exchange rate pass through to import and domestic prices. The major findings of this paper are: the exchange rate movements have only a moderate effect on prices, i.e., exchange rate pass through is incomplete; it is more stronger in import price index relative to wholesale and consumer price indices, the exchange rate pass through to wholesale price index is more pronounced compared to the pass through to consumer price index. Variance decomposition indicates that exchange rate shocks explains some proportion of inflation variability.