Authors
Abstract
Exchange rate pass-through is one of the most important issues in the international economic studies. Determining the degree of exchange rate pass-through can be used to define the effectiveness of foreign policy, market structure and exporters behavior. The main objective of this study is to investigate the exchange rate pass-through to export prices of Iranian pistachios during the period 1961-2011. In the previous studies, the exchange rate pass-through was assumed to be fixed during different years. This assumption is not consistent with reality, because many factors can influence the exchange rate pass-through. In this study, sensitivity analysis in the framework of artificial neural network is used to address this shortcoming. The results shows that exchange rate pass-through to Iran's pistachio export prices has been more than 70 percent, and its trend has been periodic. Furthermore, the results showed that there is a direct relationship between exchange rate fluctuations and Iranian pistachio export prices. Thus, by reducing exchange rate volatility, it is possible to supply pistachio with lower prices to the world markets. Considering the high elasticity of demand for the Iranian pistachio prices, a reduction in prices would increase revenues of exporters. Incidentally, given the high elasticity of export demand for Iran's pistachio, the revenues from the export of this product can be increased by reducing the cost of pistachio production.
Keywords
زارع مهرجردی، محمدرضا و توحیدی، امیرحسین (1392)، «رابطه انتقالی نرخ ارز در بازارهای صادراتی پسته ایران: رویکرد داده‌های تابلویی»، تحقیقات اقتصاد کشاورزی، دوره پنجم، شماره 18، تابستان، ص 165-185.
محمدی، حسین و بهرامی‌نسب، مهسا (1392)، «برآورد توابع عرضه و تقاضای پسته در ایران با رویکرد خودتوضیح برداری»، فصلنامه اقتصاد کشاورزی، سال چهارم، شماره 7، ص 23 - 42.
گمرک جمهوری اسلامی ایران، سالنامه آمار تجارت خارجی جمهوری اسلامی ایران، (1393).
An, L. and Wang, J (2012), “Exchange Rate Pass-Through: Evidence based on Vector Auto-Regression with Sign Restrictions", Open Economies Review, Vol. 23, No. 2, PP: 359-380.
Cheong, C., Mehari, T. & Williams, L.V (2005), “The Effects of Exchange Rate Volatility on Price Competitiveness and Trade Volumes in the UK: A Disaggregated Approach”, Journal of Policy Modeling, Vol. 27, No. 8, PP: 961-970.
Clark, T., Kotabe, M. and Rajaratnam, D (1999), “Exchange Rate Pass-Through and International Pricing Strategy: A Conceptual Framework and Research Propositions”, Journal of International Business Studies, Vol. 30, No. 2, PP: 249-268.
Delatte, A.L. and López-Villavicencio, A (2012), “Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries”, Journal of Macroeconomics, Vol. 34, No. 3, PP: 833-844.
Dimopoulos, I., Chronopoulos, J., Chronopoulou-Sereli, A. and Lek, S (1999), “Neural Network Models to Study Relationships between Lead Concentration in Grasses and Permanent Urban Descriptors in Athens City (Greece)”, Ecological Modelling, Vol. 120, No. 2, PP: 157-165.
Dimopoulos, Y., Bourret, P. and Lek, S (1995), “Use of Some Sensitivity Criteria for Choosing Networks with Good Generalization Ability", Neural Processing Letters, Vol. 2, No. 6, PP: 1-4.
Dwyer, J., Kent, C. and Pease, A (1993), Exchange Rate Pass-Through: the Different Responses of Importers and Exporters, Sydney, Australia: Economic Research Department, Reserve Bank of Australia.
Feenstra, R.C., Gagnon, J.E. and Knetter, M.M (1996), “Market Share and Exchange Rate Pass-Through in World Automobile Trade”, Journal of International Economics, Vol. 40, No. 1, PP: 187-207.
Feng, L. and Zhang, J (2014), “Application of Artificial Neural Networks in Tendency Forecasting of Economic Growth”, Economic Modelling, Vol. 40, PP: 76-80.
Gandolfo, G (1992), “Sensitivity Analysis in Continuous Time Econometric Models”, Computers & Mathematics with Applications, Vol. 24, No. 8, PP: 43-55.
Gevrey, M., Dimopoulos, I. and Lek, S (2003), “Review and Comparison of Methods to Study the Contribution of Variables in Artificial Neural Network Models”, Ecological Modelling, Vol. 160, No. 3, PP: 249-264.
Ghosh, A. and Rajan, R.S (2007a), “A Survey of Exchange Rate Pass‐Through in Asia”, Asian‐Pacific Economic Literature, Vol. 21, No. 2, PP: 13-28.
Ghosh, A. and Rajan, R.S (2007b), “A Comparative Analysis of Export Price Pass-Through in Three Open Asian Economies: Korea, Singapore and Thailand”, Global Economic Review, Vol. 36, No. 3, PP: 287-299.
Ghosh, A. and Rajan, R.S (2009), “What is the Extent of Exchange Rate Pass-Through in Singapore? Has it Changed over Time”, Journal of the Asia Pacific Economy, Vol. 14, No. 1, PP: 61-72.
Hoque, M.M. and Razzaque, A (2004), “Exchange Rate Pass-Through in Bangladesh's Export Prices: An Empirical Investigation”, Bangladesh Development Studies, Vol. 30, No. 1, PP: 35-64.
Kaastra, I. and Boyd, M (1996), “Designing a Neural Network for Forecasting Financial and Economic Time Series”, Neuro-computing, Vol. 10, No. 3, PP: 215-236.
Khashei, M. and Bijari, M (2011), “A Novel Hybridization of Artificial Neural Networks and ARIMA Models for Time Series Forecasting”, Applied Soft Computing, Vol. 11, No. 2, PP: 2664-2675.
Khundrakpam, J.K (2008), “Have Economic Reforms Affected Exchange Rate Pass-Through to Prices in India”, Economic and Political Weekly, Vol. 43, No. 16, PP: 71-79.
Kim, M., Cho, G. and Koo, W.W (2003), “Exchange Rate Pass-Through and Its Relation to Market Power: Reinterpretation of the Degree of Exchange Rate Pass-through”, In American Agricultural Economics Association Annual Meeting, July 27-30, Montreal, Canada.
Knetter, M.M (1989), “Price Discrimination by US and German Exporters”, American Economic Review, Vol. 79, No. 1, PP: 198-210.
Knetter, M.M (1993), “International Comparisons of Pricing-to-Market Behavior”, American Economic Review, Vol. 83, No. 3, PP: 473-486.
Mallick, S. and Marques, H (2010), “Data Frequency and Exchange Rate Pass-Through: Evidence from India's Exports”, International Review of Economics & Finance, Vol. 19, No. 1, PP: 13-22.
Mann, C.L (1989), “The Effects of Exchange Rate Trends and Volatility on Export Prices: Industry Examples from Japan, Germany, and the United States”, Review of World Economics, Vol. 125, No. 3, PP: 588-618.
McNelis, P.D (2005), Neural Networks in Finance: Gaining Predictive Edge in the Market, California: Elsevier Academic Press.
Olden, J.D., Joy, M.K. and Death, R.G (2004), “An Accurate Comparison of Methods for Quantifying Variable Importance in Artificial Neural Networks Using Simulated Data”, Ecological Modelling, Vol. 178, No. 3, PP: 389-397.
Pakravan, M.R. and Kavoosi Kalashami, M (2011), “Future Prospects of Iran, US and Turkey's Pistachio Exports”, International Journal of Agricultural Management and Development, Vol. 1, No. 3, PP: 181-188.
Parsley, D.C (2003), “Exchange Rate Pass‐Through in a Small Open Economy: Panel Evidence from Hong Kong”, International Journal of Finance & Economics, Vol. 8, No. 2, PP: 99-107.
Parsley, D.C (2012), “Exchange Rate Pass-Through in South Africa: Panel Evidence from Individual Goods and Services”, Journal of Development Studies, Vol. 48, No. 7, PP: 832-846.
Parsons, C.R. and Sato, K (2008), “New Estimates of Exchange Rate Pass-Through in Japanese Exports”, International Journal of Finance and Economics, Vol. 13, No. 2, PP: 174-183.
Samantaraya, A (2009), “An Empirical Analysis of Exchange Rate Pass-Through in India: Relevance for Inflation Management”, IUP Journal of Monetary Economics, Vol. 7, No. 2, PP: 17-31.
Shambaugh, J (2008), “A New Look at Pass-Through”, Journal of International Money and Finance, Vol. 27, No. 4, PP: 560-591.
Swift, R (2004), “The Pass‐Through of Exchange Rate Changes to the Prices of Australian Exports of Dairy and Livestock Products”, Australian Journal of Agricultural and Resource Economics, Vol. 48, No. 1, PP: 159-185.
Yumkella, K.K., Unnevehr, L.J. and Garcia, P (1994), “Noncompetitive Pricing and Exchange Rate Pass-Through in Selected US and Thai Rice Markets”, Journal of Agricultural and Applied Economics, Vol. 26, No. 2, PP: 406-416.
Zare Mehrjerdi, M. and Tohidi, A (2014), “An Empirical Analysis of Exchange Rate Pass-Through to Iran's Saffron Export Price”, Ethno-Pharmaceutical Products, Vol. 1, No. 1, PP: 29-36.
Zheng, Z., Saghaian, S. and Reed, M (2012), “Factors Affecting the Export Demand for US Pistachios”, International Food and Agribusiness Management Review, Vol. 15, No. 3, PP: 139-154.
)