IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

The Impact of Exchange Rate Pass-Through on Implicit Price Index of Iran's Agriculture Sector: An Application of M-GARCH and Threshold Regression Models

Listed author(s):
  • Abdi Seyyedkolaee , Mohammad


    (Ph.D. Candidate in Economics, University of Mazandaran)

  • Tehranchian, Amirmansour


    (Associate Professor of Economics, University of Mazandaran)

  • Jafari Samimi, Ahmad


    (Professor of Economics, University of Mazandaran)

  • Mojaverian, Seyyed Mojtaba


    (Associate Professor of Agricultural Economic, Sari University of Agricultural Sciences and Natural Resources)

Registered author(s):

    The impact of exchange rate changes on prices called "Exchange Rate Pass-Through (ERPT)" is an important issue in economics. Changes in the exchange rate can affect agricultural product prices through the import prices of raw materials. Also, the dependency of the agricultural exports on the exchange rate can accelerate this relationship. Bearing in mind the strategic position of agricultural products, dealing with the above issue should be highly regarded by the agricultural sector policymakers. The purpose of the present paper is to study the impact of ERPT on the implicit price index of Iran's agriculture sector. It also deals with the possibility of any threshold value for the exchange rate from 1971-2014 .To do so, using time series data from the Central Bank of Iran, Multivariate Generalized Autoregressive Conditional Heteroskedasticity (M-GARCH) and Threshold Regression (TR) models have been estimated. The estimation results indicate that the past shocks of nominal exchange rate had a positive impact on the agriculture implicit price index. Also, the findings of the threshold regression estimation show that applying ERPT to implicit price index of agriculture products revealed a threshold value of 9226 Rials. In other words, an increase in the exchange rate higher than the threshold level will cause a much higher increase in the implicit price index of agriculture products in Iran.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    File Function: Full text
    Download Restriction: no

    Article provided by Faculty of Economics, Management and Business, University of Tabriz in its journal Quarterly Journal of Applied Theories of Economics.

    Volume (Year): 3 (2017)
    Issue (Month): 4 (February)
    Pages: 101-128

    in new window

    Handle: RePEc:ris:qjatoe:0060
    Contact details of provider: Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ris:qjatoe:0060. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sakineh Sojoodi)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.