Comovement of exchange rate and price indicators in Iran: An Application of Economic Physics in the Study of Mutual Relationships

Saboori Deilami, Mohammad Hassan; Bashiri, Sahar; ValiBeigi, Hassan

doi:10.22096/esp.2022.129435.1362

Comovement of exchange rate and price indicators in Iran: An Application of Economic Physics in the Study of Mutual Relationships

Document Type : Original Article

Authors

Mohammad Hassan Saboori Deilami ¹

sahar bashiri ²

Hassan ValiBeigi ¹

¹ Assistant Professor, Institute for Trade Studies and Research (ITSR), Tehran, Iran.

² Assistant Professor, Hazrat-e Masoumeh University, Qom, Iran.

10.22096/esp.2022.129435.1362

Abstract

The purpose of this study is to investigate the relationship between price indicators and exchange rate in Iran with the approach of Wavelet coherence analysis in the period of April 2002 to December 2017. The results show that the relationship between consumer price index and exchange rate in in the mentioned period and at the one-year time scale has been homogeneous. And the intensity correlation between these variables for a short time scale, below two years, is very important. The interaction intensity between exchange rate and the consumer price index increases when exchange rate and inflation uncertainties have increased, and we are witnessing the formation of inflationary peaks in the inflation rate of the consumer price index. Also, examining the relationship suggests a strong and positive relationship between exchange rate and the producer price index during uncertain periods.

Keywords

consumer price index

exchange rate

producer price index

wavelet analysis

Barakchian, Mahdi, Bayat, Saeed, & Hooman Karami. “Does Producer Price Index Lead Consumer Price Index?”, Journal of Monetary and Banking Research 8, no. 26 (2016): 521-541. [In Persian]

Basirat, Mehdi, Nasiri, Arezoo, & Alireza Jorjorzadeh. "the Effect of Exchange Rate Fluctuations on The Economic Growth Due to Financial Markets Deepening in Some Selected OPEC Countries”, Quarterly Journal of Financial Economics (Financial Economics And Development) 9, no. 30 (2015): 141-164. [In Persian]

Pirani, Khosrow, & Hossein Kourosh Pasandideh. "Experimental study of the relationship between exchange rate and inflation in Iran", Journal of Humanities and Social Sciences 1, no. 4 (2002): 61-81. [In Persian]

Send comment about this article

Name *

Enter Name.

Email Address *

Enter a valid email address.

Affiliation *

Enter a vaid affiliation.

Comments *

Enter comments (At leaset 10 words)

Security Code *