Search published articles


Showing 1 results for Str Model

Saeed Rasekhi, Mojtaba Montazeri,
Volume 6, Issue 22 (12-2015)
Abstract

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.



Page 1 from 1     

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

Designed & Developed by : Yektaweb