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T he 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… Click to show full abstract
T he 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.
Journal Title: iranian economic review
Year Published: 2017
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