<abstract xmlns="http://www.w3.org/1999/xhtml"><p> Given the recent fluctuation in the exchange rate and the presence of several factors such as the various economy-political sanctions (mainly embargos on oil and banking), extreme volatility in different economic fields, and consequently the devaluation of national and public procurement -A landmark that is emanating from exchange rate fluctuation - two points should be noted: First, it is essential to review the effect of exchange rate fluctuation on macro economic variables such as inflation and to provide appropriate policies. Second, the existence of this condition provides the chance to study the relation between exchange rate and inflation in a non-linear and asymmetric method. Hence, the present study seeks to use TAR model and, on the basis of monthly time series data over the period March 2002 to March 2014, to analyze the cross-asymmetric and non-linear exchange rate on consumer price index (CPI) in Iran. The results also show the presence of an asymmetric long-term relationship between these variables (exchange rate and CPI). Also, in the Iranian economy, the effect of negative shocks of exchange rate on inflation is more sustainable than the one from positive shocks.</p></abstract>

Given the recent fluctuation in the exchange rate and the presence of several factors such as the various economy-political sanctions (mainly embargos on oil and banking), extreme volatility in different economic fields, and consequently the devaluation of national and public procurement -A landmark that is emanating from exchange rate fluctuation - two points should be noted: First, it is essential to review the effect of exchange rate fluctuation on macro economic variables such as inflation and to provide appropriate policies. Second, the existence of this condition provides the chance to study the relation between exchange rate and inflation in a non-linear and asymmetric method. Hence, the present study seeks to use TAR model and, on the basis of monthly time series data over the period March 2002 to March 2014, to analyze the cross-asymmetric and non-linear exchange rate on consumer price index (CPI) in Iran. The results also show the presence of an asymmetric long-term relationship between these variables (exchange rate and CPI). Also, in the Iranian economy, the effect of negative shocks of exchange rate on inflation is more sustainable than the one from positive shocks.

The Effects Of Asymmetric Transmission Of Exchange Rate On Inflation In Iran: Application Of Threshold Models

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Given the recent fluctuation in the exchange rate and the presence of several factors such as the various economy-political sanctions (mainly embargos on oil...

The Effects Of Asymmetric Transmission Of Exchange Rate On Inflation In Iran: Application Of Threshold Models

Published Online: Sep 25, 2015

Page range: 99 - 113

DOI: https://doi.org/10.1515/sbe-2015-0023

Keywords
Consumer Price Index, the Asymmetric flow Pattern, Threshold Autoregressive Model (TAR)

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The Effects Of Asymmetric Transmission Of Exchange Rate On Inflation In Iran: Application Of Threshold Models

Published Online: Sep 25, 2015

Page range: 99 - 113

DOI: https://doi.org/10.1515/sbe-2015-0023

KeywordsConsumer Price Index, the Asymmetric flow Pattern, Threshold Autoregressive Model (TAR)

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
Consumer Price Index, the Asymmetric flow Pattern, Threshold Autoregressive Model (TAR)