Review the degree of exchange rate fluctuation on import prices under environmental conditions: with emphasis on dietary changes

Document Type : پژوهشی

Authors

• zohreh eskandaripour
• marzieh Esfandiari

sistan and baluchestan

https://doi.org/10.22067/pm.v26i17.72743

Abstract

The main purpose of this paper is to study the degree of exchange rate fluctuation in import prices under environmental uncertainty conditions with an emphasis on dietary changes during the period 1962-1392. Therefore, the EGARCH model and the Markov rotational approach are used. The results of unstable modeling showed that negative and positive shocks are asymmetrically contributing to the formation of uncertainty in the variables of exchange rate, GDP and oil revenues. Based on the results of the Markov rotary model approach, the relationship between import price and its fundamental variables follows a two-mode pattern. Based on the results, the exchange rate, GDP, trade openness and the price of imported goods exported positively and significantly on the price of imported goods. The degree of exchange rate fluctuation in terms of environmental uncertainty in both regimes is more than one unit. The uncertainties of the fixed component increase the rate of exchange rate over the import price, and in addition, the slope of the exchange rate on import prices is also affected by environmental uncertainties. Meanwhile, the role of uncertainty of GDP in increasing the slope of the exchange rate is positive and is very high in relation to the effects of uncertainty in exchange rates and oil revenues.

Keywords

• Import prices
• exchange rate crossings
• macroeconomic uncertainty
• Markov rotation regression
• EGARCH

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