Seyed Komail Tayebi; Khadijeh Nasrollahi; Mehdi Yazdani; Seyed Hassan Malekhosseini
Abstract
The exchange rate pass-through explains the relationship between changes in national currency and foreign trade of a country, while the responsiveness of trade to the currency changes depends on the perfect or imperfect degree of pass-through.
The objective of this study is to analyze the effect of ...
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The exchange rate pass-through explains the relationship between changes in national currency and foreign trade of a country, while the responsiveness of trade to the currency changes depends on the perfect or imperfect degree of pass-through.
The objective of this study is to analyze the effect of exchange rate pass-through on inflation in Iran as one of the main oil-exporting countries. To this end, we have specified a Structural Vector Auto-Regressive (SVAR) model including macroeconomic variables such as oil revenues, output gap, free market exchange rate, import prices, producer prices, consumer prices and money supply. To estimate the model, we have used quarterly data over the period 1991:1 - 2012:4.
Empirical results of the model estimation, which are in forms of impulse response functions and variance decomposition, have shown that although the degree of exchange rate pass-through to the price indices has been incomplete, changes in the exchange rate have led to fluctuations in the prices explaining partly Iran’s inflationary situation during the period under consideration. It also reveals the fact that a higher share of imported inflation implies the economy’s dependence on imports.
Mohamad Vaez; Khadijeh Nasrollahi; Amir jabbari
Volume 9, Issue 31 , July 2007, , Pages 77-102
Abstract
The central banks holding of the international reserves serves as a means for financing the balance-of-payments deficit, but bears opportunity costs. Therefore, the optimal level of the international reserves is one of the monetary authorities’ major concerns. The special economic conditions of ...
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The central banks holding of the international reserves serves as a means for financing the balance-of-payments deficit, but bears opportunity costs. Therefore, the optimal level of the international reserves is one of the monetary authorities’ major concerns. The special economic conditions of the country, such as the severe dependency of the economy on the oil exporting revenues, lacking of the necessary flexibility in the foreign exchange market, commercial limitations and controlling the capital flows, limited access to the international financial markets, poor management of the foreign debts, and various national and international shocks to the economy in recent years have made the determining of the optimal level of the international reserves very important to the Iranian economy. In this paper, we use the Frankel-Jovanovic model which is based on the Bamol’s and Tobin’s buffer stock model and apply dynamic optimization and GARCH model to determine the optimal level of the international reserves of Central Bank of the Islamic Republic of Iran for the period 1961-2004. Our findings show that the real reserves level, except for the periods of high oil revenues, have been lower than the optimal level.
