اثر بي‌ثباتي نرخ ارز و رژيم‌هاي تورمي بر شاخص بهاي كالاها و خدمات مصرفي در كشورهاي عضو سازمان همكاري اسلامي (رهيافت هم‌انباشتگي Panel FMOLS)

The Impact of Exchange Rate Volatility and Inflationary Regimes on the Consumer Price Index in Organization of Islamic Countries (Panel FMOLS Co-integration Approach)

ارزيابي تأثير بي‌ثباتي نرخ ارز و تورم بر درجه عبور نرخ ارز يكي از موضوعات مهم و اساسي در ادبيات اقتصاد پولي و بين‌الملل بوده و بخش عمده‌اي از مطالعات تجربي را در سال‌هاي اخير به خود اختصاص داده است. از اين‌رو هدف اصلي مطالعه بررسي تأثير بي‌ثباتي نرخ مؤثر اسمي ارز و رژيم‌هاي تورمي بر شاخص بهاي كالاها و خدمات مصرفي در 57 كشور عضو سازمان همكاري اسلامي طي سال‌هاي 2019-1990 مي‌باشد. براي اين منظور ابتدا به روش الگوي چرخشي ماركوف دو رژيم تورمي آرام يا ملايم و شديد به عنوان وضعيت‌هاي تورمي بهينه استخراج شد و در ادامه الگوي تجربي تحقيق به روش هم‌جمعي حداقل مربعات كاملاً اصلاح‌شده در داده‌هاي تابلويي برآورد گرديد. نتايج تخمين رابطه تعادلي بلندمدت بيانگر اين است كه بي‌ثباتي نرخ مؤثر اسمي ارز و محيط‌هاي تورمي شديد تأثير مثبت و معني‌دار بر شاخص بهاي كالاهاي مصرفي در اين گروه از كشورها داشته است. علاوه بر اين، هزينه نهايي توليد شركاي تجاري تأثير مثبت و توليد ناخالص داخلي تأثير منفي و معني‌دار بر شاخص بهاي كالاها و خدمات مصرفي در بلندمدت دارند.

Aguerre, R.B., Fuertes, A. M. and Phylaktis, K. (2012), "Exchange Rate Pass-through into Import Prices Revisited", Journal of International Money, 31: 818-844. Bailliu, J. & Fujii, E. (2004). "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation", Bank of Canada Working Paper No. 21. Carlsson, M., Lyhagen, J., and Österholm, P. (2007). Testing for purchasing power parity in co-integrated panels [IMF Working Paper no. WP/07/287]. International Monetary Fund (IMF), Washington, DC. Ceglowski, J. (2010), Exchange rate pass-through to bilateral import prices, Journal of International Money and Finance, 29 (8): 1637-1651. Cermeño R, Grier KB (2006) Conditional Heteroskedasticity and Cross-Sectional Dependence in Panel Data: an Empirical Sudy of Inflation Uncertainty in the G7 Countries. Economic Analysis. Elsevier, Berlin: 259–277. Choudhri, E.U., Hakura, D.S., (2001). Exchange rate pass-through to domestic prices: does the inflationary environment matter? Journal of International Money and Finance 25 (4), 614-639. Corsetti, G., Kuester, K., Müller, G. & Schmidt, S. (2021), DSGE models of high exchange-rate volatility and low pass-through, International Finance Discussion Papers 845. Fjærtoft, D.B. (2011). Monetary Policy in Russia and Effects of the Financial Crisis. Econ- Working Paper, No. 2008-011. Flamini, A. (2003), CPI Inflation Targeting and Exchange Rate Pass-Through, Macroeconomics 0306017, University Library of Munich, Germany. Globerman, S. & Storer, P. (2005), Exchange Rate Volatility, Pass-Through, Trade Patterns, and Inflation Targets, Journal of Economics, 7(2): 125-149. International Monetary Fund (IMF) (Ed.). (2020). Annual Report on Exchange Arrangements and Exchange Restrictions, , International Monetary Fund. Kara, H., Tuger, H.K., Ozlale, U., Tuger, B. and Yucel, E.M. (2007), “Exchange Rate Regimes and Pass-Through: Evidence from The Turkish Economy”, Journal of Contemporary Economic Policy, 25(2): 206-225. McCarthy, J. )2007(. “Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies.” Eastern Economic Journal 33 (4): 511-37. Mishkin, F. S. (2017). "Inflation Dynamics", speech delivered at Annual Macro Conference, Federal Reserve Bank of San Francisco, San Francisco, March 23; published in (2008) International Finance, 10: 317-34. Sek, S.K. & Kapsalyamova, Z. (2008), Pass-through of exchange rate into domestic prices: the case of four Asian countries, International Journal of Economic Policy Studies 3(1),45-72. Shintani M., Akiko T.-H., Tomoyoshi Y., (2013), Exchange rate pass-through and inflation: A nonlinear time series analysis. Journal of International Money and Finance, 32 (2013) 512-527. Simonyan, S. (2020), Asymmetric Exchange Rate Pass-Through to Import and Export Prices for Turkey: A Nonlinear Autoregressive Distributed Lag (NARDL) Approach, Asian Academy of Management Journal of Accounting and Finance (AAMJAF), 16(1): 35-44 Sowah, A.N. (2019), “Is There a Link between Exchange Rate Pass-Through and the Monetary Regime: Evidence from SubSaharan Africa and Latin America”, Journal of International Atlantic Economic Society, 25: 296-309. Taylor, J.B., (2018). Low inflation, pass-through, and the pricing power of firms. European Economic Review 44, 1389-1408. Westerlund, J. and D. Edgerton, (2008), “A Simple Test for Co-integration in Dependent Panels with Structural Breaks", Oxford Bulletin of Economics and Statistics, 70, 665-703. World Development Indicators (2020), wdi.org, Worldbank.org.