Asymmetry of exchange rate pass-through shocks on import prices with an emphasis on regime change

The main purpose of this study is to review the asymmetry of exchange rate pass-through shocks on import prices with an emphasis on regime change during 1974 - 2016. Thus, the Hodrick-Prescott filter has been used to detect an unanticipated exchange rate and Markov switching model to regime changes. The findings of this study show that the import price in Iran follows a two-regime model, and the unpredictable negative and positive exchange shocks are asymmetrically involved in the formation of the degree of exchange rate pass-through on the import price in each of the pricing regimes. So that the effect of negative shocks is more severe compared to the same shocks. The prime cost on the production of imported goods in outside of the country, domestic demand and commercial openness also have a positive and significant impact on import prices in both price regimes.