Document Type : Research Paper

Authors

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

Abstract

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.

Keywords

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
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