Volume 6, Issue 22 (12-2015)                   jemr 2015, 6(22): 7-31 | Back to browse issues page


XML Persian Abstract Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Rasekhi S, Montazeri M. The Impact of Macroeconomic Instability on Exchange Rate Pass Through: Some Evidence from Smooth Transition Regression (STR) Model. jemr 2015; 6 (22) :7-31
URL: http://jemr.khu.ac.ir/article-1-822-en.html
1- University of Mazandaran , srasekhi@umz.ac.ir
2- University of Mazandaran
Abstract:   (6293 Views)

Regarding to the importance of the relationship between macroeconomic instability and exchange rate pass-through, present study by using EGARCH and smooth transition regression (STR) model has examined the nonlinear effect of macroeconomic instability on the exchange rate pass-through of Iran during the period 1963-2010. For this, firstly the macroeconomic instability index has been estimated using EGARCH and then, by using STR, the research hypothesis which is that the macroeconomic instability has a nonlinear and positive effect on the exchange rate pass-through has been examined. Based on the obtained results in this research, macroeconomic instability has the macroeconomic instability has a positive effect on the exchange rate pass through in both regimes, although an increasing in volatility increases rate pass-through. So, the sequence of economic policies is important and specifically, we suggest that macroeconomic instability reduction policies should be prior to exchange rate policies.

Full-Text [PDF 421 kb]   (3633 Downloads)    
Type of Study: Applicable | Subject: تجارت و مالیه بین الملل
Received: 2013/09/15 | Accepted: 2015/08/30 | Published: 2016/03/2

Add your comments about this article : Your username or Email:
CAPTCHA

Send email to the article author


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

© 2024 CC BY-NC 4.0 | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb