Pass-through effects of global food prices on consumer prices in Iran

Javdan, Ebrahim, Haghighat, Jafar, Pishbahar, Esmaeil, Kostov, Phillip orcid iconORCID: 0000-0002-4899-3908 and Mohammadrezaei, Rassul (2017) Pass-through effects of global food prices on consumer prices in Iran. Iranian Economic Review, 21 (1). pp. 169-180. ISSN 1026-6542

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Official URL: https://ier.ut.ac.ir/article_60869.html

Abstract

The objective of this study is using the Markov Switching Vector Autoregressive method and regime dependent impulse response functions to measure the pass-through of world food prices to consumer price index in Iran from 1990 to 2013. With respect to information criteria and the log-likelihood ratio statistic, MSIA(2)-VAR(1) model has a better fit to data than other models. The magnitude of the pass-through in first and second regimes is respectively 0.43 and 0.94 after two years. We show that the magnitude of the pass-through from world food prices to consumer price index resulting from recent world food price shocks has been higher than before.


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