Author/Authors :
Javdan, Ebrahim Department of Agricultural Economics - University of Tabriz , Haghighat, Jafar Department of Economics - University of Tabriz , Pishbahar, Esmaeil Department of Agricultural Economics - University of Tabriz , Kostov, Phillip University of Central Lancashire, Lancashire, UK , Mohammadrezaei, Rassul Department of Agricultural Economics - University of Tabriz
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.
