The Exchange Rate Asymmetric Pass-Through to Import Price Index: The Case Study of Iran

Document Type: Research Paper


Department of Economics, University of Tabriz, Tabriz, Iran.


The main objective of this paper is to investigate the asymmetric effects of exchangerate on Iranian import price index using quarterly time series data over the period 1990- 2011. For this purpose, positive and negative shocks of the exchange rate have been separated from each other using dummy variables and the effects of the size of the exchange rate shocks by determining a threshold.
The empirical results indicate that the positive and negative shocks of the exchange rate both have positive and asymmetric effects on the import price index. The results show that the effects of negative shocks of the exchange rate on the imports price index is more than the positive shocks effect. In addition, the experimental findings of the research indicate that the effect of foreign exchange rate shocks size on the imports price is asymmetric and the effectiveness extent of smaller shocks is significantly more than that of bigger exchange rate shocks.
Moreover, according to the results, the effects of positive and negative shocks based on the size of foreign exchange shocks (small & big) on the imports price is asymmetric and the results show that the effect of small negative shocks is more than big ones and also the effects of small positive shocks is more than big ones.


Article Title [Persian]

انتقال نامتقارن اثر نرخ ارز بر شاخص قیمت واردات در ایران

Authors [Persian]

  • حسین اصغرپور
  • الهام وفایی
  • حامد عبدالملکی
گروه اقتصاد، دانشگاه تبریز، تبریز، ایران
Abstract [Persian]

نتایج به دست آمده حاکی از آن است که شوک‎های مثبت و منفی نرخ ارز هر دو تأثیر مثبت و نامتقارن بر شاخص قیمت واردات دارد، به طوری که تأثیر شوک‌های منفی نرخ ارز بر شاخص قیمت واردات بیشتر از تأثیر شوک‌های مثبت می‌باشد.
همچنین یافته های تجربی تحقیق دلالت بر این دارد که تاثیر سایز شوکهای نرخ ارز بر قیمت واردات نامتقارن بوده و میزان تاثیرگذاری شوکهای کوچکتر به طور معنی دار بیشتر از شوکهای ارزی بزرگتربوده است.
همچنین، بر اساس نتایج حاصل از تجزیه اثرات شوکهای مثبت و منفی بر حسب سایز شوکهای ارزی(کوچک و بزرگ) بر قیمت واردات نامتقارن بوده و نتایج نشان می دهد که تاثیرشوک‌های منفی کوچک بیشتر از شوکهای منفی بزرگ بوده و نیز اثرات شوکهای مثبت کوچک یشتر از شوکهای مثبت بزرگتر می باشد.

Keywords [Persian]

  • نرخ ارز
  • شاخص قیمت واردات
  • اثرات نامتقارن
  • ایران

 Alvarez, R., Jaramillo, P., & Selaive, J. (2008). Exchange rate pass-through into import prices: The case of Chile. Working Paper, No.465, Central Bank of Chile.

Aron, J., Farrell, G., Muellbauer, J., & Sinclair, P. (2012). Exchange rate pass-through to import prices and monetary policy in South Africa. South African Reserve Bank Working Paper Research Department, WP/12/08.

Bandt, O. D., & Razafindrabe, T. (2014). Exchange rate pass-through to import prices in the Euro-area: A multi-currency investigation. International Economics, 138, 63–77.

Belke, A., Beckmann, J., & Verheyen, F. (2013). Exchange rate pass-through into German import prices–a disaggregated perspective. Conference Paper, Global Current Account Imbalances, No. F08-V1, German Economic Association.

Brun-Aguerre, R., Fuertes, A. M., & Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it? Journal of International Money and Finance, 31(4), 818-844.

Bussiere, M. (2007). Exchange rate pass-through to trade prices. The role of nonlinearities and asymmetries. ECB Working Paper, No. 822, Frankfurt, European Central Bank.

Byrne, J. P., Chavali, A. S., & Kontonikas, A. (2010). Exchange rate pass-through to import prices: Panel evidence from emerging market economies. Department of Economics, University of Glasgow, Glasgow, UK.

Campa, J. M., & Linda, S. G. (2005). Exchange rate pass-through to import prices. Review of Economics and Statistics, 87(4), 679-690.

Campa J. M., Gonzalez-Minguez, J. M., & Sebastia-Barriel, M. (2006). Non-linear adjustment of import prices in the European Union. Documentos de Trabajo No. 0635, Banco de Espana, docs/dt0635e.pdf.

Choudhri, E. U., & Hakura, D. S. (2012). The exchange rate pass-through to import and export prices: The role of nominal rigidities and currency choice. IMF Working Paper Institute for Capacity Development, WP/12/226.

Delatte, A. L., & Antonia, L. V. (20120. Asymmetric exchange rate pass-through: Evidence from major countries. Journal of Macroeconomics, 34(3), 833–844.

Elbejaoui, H. J. (2013). Asymmetric effects of exchange rate variations: An empirical analysis for four advanced countries. International Economics, 135–136, 29–46.

Enders, W. (2005). Applied Econometric Time Series. Iowa State University.

Goldberg, P. 1995. Product differentiation and oligopoly in international markets: The case of the U.S. automobile industry. Econometrica, 64, 413-430.

Kadiyali, V. (1997). Exchange rate pass-through for strategic pricing and advertising: An empirical analysis of the U.S. photographic film industry. Journal of International Economics, 43(3/4), 437-461.

Karoro, T. D., Aziakpono, M. J., & Cattaneo, N. (2009). Exchange rate pass-through to import prices in South Africa: Is there asymmetry? South African Journal of Economics, 77(3), 380–398.

Kilic, R. (2010). Exchange rate pass-through to import prices: Nonlinearity and exchange rate and inflationary regime. Department of Economics, Koch University, Rumeli FeneriYolu, Sarıyer, ˙Istanbul 34450 Turkey.

Lawrence, R. Z. (1990). U.S. current account adjustment: An appraisal. Brookings Paper on Economic Activity, 2, 343-382.

Lee, J. (2013). Exchange rate pass-through into export and import prices: A bounds testing analysis on the case of Korea. The Working Paper Seriespublishes original research of Bryant University faculty associated with the Center for Global and Regional Economic Studies, 2013-04.

Mann, C. (1986). Prices, profit margins, and exchange rates. Federal Reserve Bulletin, 72(6), 366-379

Mashhadi Mohammadi, H., Shakeri, A., & Mahmudzadeh, M. (2014). Effect of real exchange rate deviation on exports of steel industry in Iran. Journal of Economic Sciences, 8(28), 15-33 (in Persian).

Mozayani, A. H., & Yavari, K. (2015). The impact of currency fluctuations on trade sector of the country, Iranian Journal of Economic Research, 4(14), 89-107 (in Persian).

Mumtaz, H., Oomen, O., & Wang, J. (2006). Exchange rate pass-through into UK import prices, bank of England. Working Paper, No. 312, London.

Pedram, M., Shirinbakhsh, S., & Rezaei-Abyaneh, B. 2012. Investigating the asymmetric effects of exchange exchanges on the prices of exported goods, Journal of EconomicModeling Research. 9, 143-166 (in Persian).

Pollard, P. S., & Coughlin, C. C. (2004). Size matters: Asymmetric exchange rate pass-through at the industry level. University of Nottingham Research Paper 2004-13 and Federal Reserve Bank of St. Louis Working Paper2003-029C.

Przystupa, J., & Wrobel, E. (2009). Asymmetry of the exchange rate pass-through: An exercise on the Polish data. University Library of Munich.

Rangasamy, L., & Farrell, G. N. (2002). Exchange rate pass-through and South African import prices. South African Reserve Bank Discussion Paper, No. DP/02/03.Pretoria: South African Reserve Bank.

Sameti, M., Khanzadi, A., & Yazdani, M. (2010). Investigating the hypothesis of asymmetric effects of exchange rate shocks on production and price levels (Case study of Iran), Journal of Money and Economics, 2(4), 35-57 (Persian).

Tekin, R., Baris, & Yazgan, M. E. (2009). Exchange rate pass-through in Turkish export and import prices. AppliedEconomics, 41, 2221-2228.

Webber, A. (2000). Newton’s gravity law and import prices in the Asia pacific. Japan and the World Economy, 12 (1), 71-87.

Wickremasinghe, G., & Silvapulle, P. 2004. Exchange rate pass-through to manufactured import prices: The case of Japan. International Trade, No. 0406006.

Xu, S., Zhang, H., & Atri, S. (2017). A comparative analysis of exchange rate pass-through in China, Euro zone and the U.S.: A vector error correction model. International Journal of Economics and Finance, 9(8), 51-65.