The exchange rate pass-Through to customer price index in Iran, Quantile regression approach
semanticscholar(2019)
Abstract
Correspondence: Alireza Kazerooni, Professor of Economics, Tabriz University, Iran. ABSTRACT The aim of this study is to evaluate the influence of exchange rate pass-through (ERPT) to customer price index (CPI) in Iran using quantile regression approach and seasonal data of 1991-2016. According to model estimations, there is a significant positive relationship between ERPT and CPI. In other words, as ERPT increases, CPI increases so that the mean influence of ERPT to CPI in different quantiles is 0.41. In addition, the relationship of production gap and liquidity (cash flow) with CPI is positive and significant. In other words, the increase of exchange rate, production gap and liquidity deteriorate the status of CPI. Furthermore, there is a significant inverse relationship between economy openness index and CPI. Resampling (bootstrap) results confirm quantile regression results.
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