برآورد تاثیر تغییرات نرخ ارز بر شاخص قیمت تولیدکننده در بخش‌های عمده اقتصاد ایران

نویسندگان
حسن حیدری
مهسا رشیدی
دانشگاه تربیت مدرس
10.29252/jemr.9.35.167
چکیده
نرخ ارز با توجه به ماهیتی که دارد می‌تواند سطح عمومی قیمت‌ها را تحت تاثیر قرار دهد. اگرچه در زمینه اثرات نرخ ارز بر سطح عمومی قیمتها مطالعات زیادی شده است، اما در زمینه میزان اثرگذاری نرخ ارز بر قیمت در بخش‌های مختلف اقتصادی مطالعات کمتری انجام شده است. در این پژوهش تاثیر تغییرات نرخ ارز بر اجزای شاخص قیمت تولیدکننده (شامل بخشهای صنعت، کشاورزی و خدمات) با استفاده از الگوی خودرگرسیون برداری ساختاری (SVAR) محاسبه شده است. برای این منظور، از داده های فصلی دوره زمانی 1396-1370 استفاده شده است. نتایج این تحقیق نشان می دهد، در بخش کشاورزی و خدمات با گذشت یک دوره طولانی (24 فصل) گذر نرخ ارز به صورت ناقص (کمتر از 100 درصد) رخ داده است، بطوریکه به ازای 100 درصد افزایش در نرخ ارز در مجموع و به صورت انباشته قیمت در بخش خدمات 40 درصد و در بخش کشاورزی حدود 46 درصد افزایش یافته است. همچنین شاخص قیمت مصرف کننده نیز به ازای افزایش 100 درصدی نرخ ارز در نهایت حدود 23 درصد افزایش یافته است. در بخش صنعت بر خلاف سایر بخش های اقتصادی گذر نرخ ارز تقریبا کامل و حدود 100 درصد بوده است بطوریکه در فصل 24 در مجموع به ازای 100 درصد افزایش در نرخ ارز شاهد افزایش بیش از 97 درصد در قیمت‌های تولیدکننده در بخش صنعت هستیم. با توجه به نتایج می‌توان گفت که تفاوت قابل توجهی بین اجزای شاخص قیمت تولیدکننده در ایران از نظر انتقال اثرات نرخ ارز و میزان حساسیت به آن دیده می‌شود که می‌توان آن را به ساختار متفاوت این بخش‌ها نسبت داد.
کلیدواژه‌ها
گذر نرخ ارز
قیمت واردات
شاخص قیمت تولیدکننده
الگوی خودرگرسیون برداری ساختاری

عنوان مقاله English

Estimating Exchange Rate Pass-Through on Producer Prices in Main Sectors of Iranian Economy

نویسندگان English

Hassan Heydari
Mahsa Rashidi
Tarbiat Modares University
چکیده English

Exchange rate changes could impact on prices. Whether exchange rate pass through to prices is complete or incomplete is an interesting question in analyzing impacts of exchange rate policy. An important aspect of exchange rate pass through is in producer price index and in its sub-indices. Our aim is to analyze the effects of exchange rate changes on producer sub-indices. To do that we have used of the structural vector autoregressive (SVAR) methodology. Our data contains 1991 Q2-2017 Q1. The results show that there is a significant heterogeneity in exchange rate pass-through to producer prices. Our results showed that there is complete exchange rate pass through in industrial prices but agricultural and service prices show incomplete pass through. According to previous studies, the difference could be related to different market structure in industrial activities compared to agriculture and service activities.

کلیدواژه‌ها English

Exchange Rate Pass-Through
Import Prices
Producer Prices
SVAR
Abdulrasheed Zubair, Okorie George, and Aliyu Rafindadi Sanusi, (2013) "Exchange Rate Pass-through to Domestic Prices in Nigeria: An Empirical Investigation",Economic and Financial Review, No.1. pp: 1-27.
Abdulrasheed Zubair, Okorie George, and Aliyu Rafindadi Sanusi, (2013) "Exchange Rate Pass-through to Domestic Prices in Nigeria: An Empirical Investigation",Economic and Financial Review, No.1. pp: 1-27.
Alvarez, R., Shoja, A., Uddin, S., and Yilmazkuday, H. (2019), "Daily exchange rate pass-through into micro prices", Applied Economic Letters, 26 (6): 440-445. [DOI:10.1080/13504851.2018.1486972]
Alvarez, R., Shoja, A., Uddin, S., and Yilmazkuday, H. (2019), "Daily exchange rate pass-through into micro prices", Applied Economic Letters, 26 (6): 440-445. [DOI:10.1080/13504851.2018.1486972]
An, L. and Wang, J (2012), "Exchange Rate Pass-Through: Evidence based on Vector Auto Regression with Sign Restrictions", Open Economies Review, Vol. 23, No. 2, PP: 359-380. [DOI:10.1007/s11079-010-9195-8]
An, L. and Wang, J (2012), "Exchange Rate Pass-Through: Evidence based on Vector Auto Regression with Sign Restrictions", Open Economies Review, Vol. 23, No. 2, PP: 359-380. [DOI:10.1007/s11079-010-9195-8]
Bhagwati, J. N. (1988); "The Pass-Through Puzzle: The Missing Prince from Hamlet", Mimeo, Columbia University, December.
Bhagwati, J. N. (1988); "The Pass-Through Puzzle: The Missing Prince from Hamlet", Mimeo, Columbia University, December.
Cheikh, N. and Rault, C. (2017), "Investigating First-Stage Exchange Rate Pass-Through: Sectoral and Macro Evidence from Euro Area Countries", IZA - Institute of Labor Economics, Discussion Paper No. 10555, February 2017.
Cheikh, N. and Rault, C. (2017), "Investigating First-Stage Exchange Rate Pass-Through: Sectoral and Macro Evidence from Euro Area Countries", IZA - Institute of Labor Economics, Discussion Paper No. 10555, February 2017.
Delatte, A.L. and Lَpez-Villavicencio, A (2012), "Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries", Journal of Macroeconomics, Vol. 34, No. 3, PP: 833-844. [DOI:10.1016/j.jmacro.2012.03.003]
Delatte, A.L. and Lَpez-Villavicencio, A (2012), "Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries", Journal of Macroeconomics, Vol. 34, No. 3, PP: 833-844. [DOI:10.1016/j.jmacro.2012.03.003]
Dornbusch, R. (1987); "Exchange Rates and Prices", American Economic Review, no.77, pp. 93-106.
Dornbusch, R. (1987); "Exchange Rates and Prices", American Economic Review, no.77, pp. 93-106.
DUM, R. M. (1970); "Flexible Exchange Rates and Oligopoly Pricing", Journal of Political Economy, no.78, pp. 140-51. [DOI:10.1086/259613]
DUM, R. M. (1970); "Flexible Exchange Rates and Oligopoly Pricing", Journal of Political Economy, no.78, pp. 140-51. [DOI:10.1086/259613]
Ebrahimi, S. and Madanizadeh, S. A. (2016), "Changes in Exchange Rate Pass-Through in Iran", Quarterly Journal of Applied Economic Studies, 5(18): 147-170.
Ebrahimi, S. and Madanizadeh, S. A. (2016), "Changes in Exchange Rate Pass-Through in Iran", Quarterly Journal of Applied Economic Studies, 5(18): 147-170.
Forbes, K. Hjortsoe, I.and Nenova, T. (2018), "The shocks matter: Improving our estimates of exchange rate pass-through", Journal of International Economics, 114: 255-275. [DOI:10.1016/j.jinteco.2018.07.005]
Forbes, K. Hjortsoe, I.and Nenova, T. (2018), "The shocks matter: Improving our estimates of exchange rate pass-through", Journal of International Economics, 114: 255-275. [DOI:10.1016/j.jinteco.2018.07.005]
Ghosh, A. and Rajan, R.S (2007b), "A Comparative Analysis of Export Price Pass-Through in Three Open Asian Economies: Korea, Singapore and Thailand", Global Economic Review, Vol. 36, No. 3, PP: 287-299. [DOI:10.1080/12265080701562016]
Ghosh, A. and Rajan, R.S (2007b), "A Comparative Analysis of Export Price Pass-Through in Three Open Asian Economies: Korea, Singapore and Thailand", Global Economic Review, Vol. 36, No. 3, PP: 287-299. [DOI:10.1080/12265080701562016]
Grassman, S. (1973); "Exchange Reserves and the Financial Structure of Foreign Trade", Hants, England Saxon House.
Grassman, S. (1973); "Exchange Reserves and the Financial Structure of Foreign Trade", Hants, England Saxon House.
Hahn, E. (2007), "The Impact of Exchange Rate Shocks on Sectoral Activity and Prices in Euro Area", European Central Bank, Working Paper No. 796, August 2007.
Hahn, E. (2007), "The Impact of Exchange Rate Shocks on Sectoral Activity and Prices in Euro Area", European Central Bank, Working Paper No. 796, August 2007.
Hamid Faruqee, (2006). 'Exchange Rate Pass-through in the Euro Area', IMF Staff Papers, 63-88.
Hamid Faruqee, (2006). 'Exchange Rate Pass-through in the Euro Area', IMF Staff Papers, 63-88.
Helleiner, G. K. (1985); "Comment on Efficiency, Equity and Transfer Pricing in LDCs", In A.M. Rugman and L. Eden (eds.), Multinationals and Transfer Pricing, pp. 240-4, London: Croom Helm.
Helleiner, G. K. (1985); "Comment on Efficiency, Equity and Transfer Pricing in LDCs", In A.M. Rugman and L. Eden (eds.), Multinationals and Transfer Pricing, pp. 240-4, London: Croom Helm.
Heydari, H. and Ahmadzadeh, A. (2015), "Exchange Rate Pass-Through in Pricing Chain in Iran", Iranian Journal of Trade Studies, 19(74): 1-38.
Heydari, H. and Ahmadzadeh, A. (2015), "Exchange Rate Pass-Through in Pricing Chain in Iran", Iranian Journal of Trade Studies, 19(74): 1-38.
Hüfner, Felix P. and Michael Schroder (2002); "Exchange Rate Pass-through to Consumer Prices: A European Perspective", Center for European Economic Research Discussion Paper, pp. 02-20. [DOI:10.2139/ssrn.304939]
Hüfner, Felix P. and Michael Schroder (2002); "Exchange Rate Pass-through to Consumer Prices: A European Perspective", Center for European Economic Research Discussion Paper, pp. 02-20. [DOI:10.2139/ssrn.304939]
JaeBin Ahn, and Chang-Gui Park, (2014), 'Exchange Rate Pass-through to Domestic Producer Prices: Evidence from Korean Firm-Level Pricing Survey', Economics Letters,No. 125,pp: 138-42. [DOI:10.1016/j.econlet.2014.05.022]
JaeBin Ahn, and Chang-Gui Park, (2014), 'Exchange Rate Pass-through to Domestic Producer Prices: Evidence from Korean Firm-Level Pricing Survey', Economics Letters,No. 125,pp: 138-42. [DOI:10.1016/j.econlet.2014.05.022]
JaeBin Ahn, Chang-Gui Park, and Chanho Park, (2016), 'Pass-through of Imported Input Prices to Domestic Producer Prices: Evidence from Sector-Level Data', IMF Working Paper, WP/16/23. [DOI:10.5089/9781475522280.001]
JaeBin Ahn, Chang-Gui Park, and Chanho Park, (2016), 'Pass-through of Imported Input Prices to Domestic Producer Prices: Evidence from Sector-Level Data', IMF Working Paper, WP/16/23. [DOI:10.5089/9781475522280.001]
Lashkari, M.; Asghar Pour, A.; Tamizi, H. (2015), "Analysis of Exchange Rate Pass-Through to Export Prices and the Impact of Inflation, and Income on It in Iran and Trading Partners: A GMM Estimator Approach", Quarterly Journal of Economic Research and Policies 23(3): 111-128.
Lashkari, M.; Asghar Pour, A.; Tamizi, H. (2015), "Analysis of Exchange Rate Pass-Through to Export Prices and the Impact of Inflation, and Income on It in Iran and Trading Partners: A GMM Estimator Approach", Quarterly Journal of Economic Research and Policies 23(3): 111-128.
Menon, J. (1993); "Exchange Rate Pass-through: Australian Imports of Motor Vehicles", International Economic Journal, no.7, pp. 93-109. [DOI:10.1080/10168739300080023]
Menon, J. (1993); "Exchange Rate Pass-through: Australian Imports of Motor Vehicles", International Economic Journal, no.7, pp. 93-109. [DOI:10.1080/10168739300080023]
Mozayeni, A; Yavari, K.; (2006), "Exchange Rate Effects on Trade Sector", The Economic Research, 14: 89-106.
Mozayeni, A; Yavari, K.; (2006), "Exchange Rate Effects on Trade Sector", The Economic Research, 14: 89-106.
Obsat, C. and Wagner, M. (2006), "Sectoral Exchange Rate Pass Through in the Euro Area", European Central Bank.
Obsat, C. and Wagner, M. (2006), "Sectoral Exchange Rate Pass Through in the Euro Area", European Central Bank.
Pedram, Mehdi, Shirin Bakhsh, Shamsolah, Rezai Abyaneh, Bahareh (2012), "Asymetric Exchange Rate Pass-Through to Export Prices", Journal of Economic Modeling Research, 3(9): 143-166
Pedram, Mehdi, Shirin Bakhsh, Shamsolah, Rezai Abyaneh, Bahareh (2012), "Asymetric Exchange Rate Pass-Through to Export Prices", Journal of Economic Modeling Research, 3(9): 143-166
Prasad S Bhattacharya, Cem A Karayalcin, and Dimitrios D Thomakos, (2008). 'Exchange Rate Pass-through and Relative Prices: An Industry-Level Empirical Investigation', Journal of international money and finance, 27, 1135-60. [DOI:10.1016/j.jimonfin.2008.05.004]
Prasad S Bhattacharya, Cem A Karayalcin, and Dimitrios D Thomakos, (2008). 'Exchange Rate Pass-through and Relative Prices: An Industry-Level Empirical Investigation', Journal of international money and finance, 27, 1135-60. [DOI:10.1016/j.jimonfin.2008.05.004]
Raphael A Auer, (2015), 'Exchange Rate Pass‐through, Domestic Competition, and Inflation: Evidence from the 2005-08 Revaluation of the Renminbi', Journal of Money, Credit and Banking, No.47,pp: 1617-50. [DOI:10.1111/jmcb.12286]
Raphael A Auer, (2015), 'Exchange Rate Pass‐through, Domestic Competition, and Inflation: Evidence from the 2005-08 Revaluation of the Renminbi', Journal of Money, Credit and Banking, No.47,pp: 1617-50. [DOI:10.1111/jmcb.12286]
Solorzano, J. D. (2017), "Heterogeneous Exchange Rate Pass-Through in Mexico: What Drives It?", Department of Economics, University of Warwick, Coventry CV4 7AL, UK.
Solorzano, J. D. (2017), "Heterogeneous Exchange Rate Pass-Through in Mexico: What Drives It?", Department of Economics, University of Warwick, Coventry CV4 7AL, UK.
Thomas Bwire, FL Anguyoand, and Jacob Opolot, (2013), 'Exchange Rate Pass-through to Domestic Prices in Uganda: Evidence from a Structural Vector Auto-Regression (Svar)', J Stat Economet Meth,No. 2. pp: 41-68.
Thomas Bwire, FL Anguyoand, and Jacob Opolot, (2013), 'Exchange Rate Pass-through to Domestic Prices in Uganda: Evidence from a Structural Vector Auto-Regression (Svar)', J Stat Economet Meth,No. 2. pp: 41-68.
Venkataramana Yanamandra, (2015), 'Exchange Rate Changes and Inflation in India: What Is the Extent of Exchange Rate Pass-through to Imports?', Economic Analysis and policy.47, 57-68. [DOI:10.1016/j.eap.2015.07.004]
Venkataramana Yanamandra, (2015), 'Exchange Rate Changes and Inflation in India: What Is the Extent of Exchange Rate Pass-through to Imports?', Economic Analysis and policy.47, 57-68. [DOI:10.1016/j.eap.2015.07.004]
Webber, A.(1999). "Dynamic and Long Run Responses of Import Prices to the Exchange Rate in the Asia-Pacific." Asian Economic Journal, 13(3): 303-20. [DOI:10.1111/1467-8381.00087]
Webber, A.(1999). "Dynamic and Long Run Responses of Import Prices to the Exchange Rate in the Asia-Pacific." Asian Economic Journal, 13(3): 303-20. [DOI:10.1111/1467-8381.00087]
Zibari, Hoda, "Investigation the Effect of Exchange rate Gap of Official and Parallel Market on Inflation in Iran (Structural Time Series Approach)", ", Journal of Economic Modeling Research, 7 (26): 167-192. [DOI:10.18869/acadpub.jemr.7.26.167]
Zibari, Hoda, "Investigation the Effect of Exchange rate Gap of Official and Parallel Market on Inflation in Iran (Structural Time Series Approach)", ", Journal of Economic Modeling Research, 7 (26): 167-192. [DOI:10.18869/acadpub.jemr.7.26.167]