16 © 2022 Conscientia Beam. All Rights Reserved. DOES EXCHANGE RATE VOLATILITY INCREASE THE CONSUMER PRICE INDEX? EVIDENCE FROM BANGLADESH Md. Saiful Islam 1 Md. Hasanur Rahman 2+ Sharna Mazumder 3 1,2,3 Department of Economics, Comilla University, Cumilla, Bangladesh. 1 Email: sful2288@gmail.com 2 Email: hasanur.cou@gmail.com 3 Email: sharnamazumder@gmail.com (+ Corresponding author) ABSTRACT Article History Received: 17 May 2021 Revised: 5 January 2022 Accepted: 21 January 2022 Published: 14 February 2022 Keywords Consumer price index (CPI) Exchange rate volatility (EXV) Export Import Dynamic regression Quantile regression. JEL Classification: C31; E31; F31; F41. The current study aimed to analyze the impact of exchange rate volatility (EXV) on the consumer price index (CPI) with considering export and import. To estimate the targeted results, monthly basis data from 2013M01 to 2019M06 has been used. International financial statistics (IFS) and world development indicators are the key data sources of this study. The estimated results of dynamic regression and quantile regression analysis show that exchange rate volatility has a significant impact to raise the consumer price index in Bangladesh. Import volume and import tax are also liable to raise the price level due to lack of domestic production. Results of dynamic regression demonstrated that the one-period lag of the dependent variable LNCPI(-1) has a positive and significant impact on the current period of CPI where exchange rate volatility has a positive impact on the rising price level. Moreover, this study contributes to the field of international trade and international economics through suggestions and policy coordination. Contribution/Originality: Current study is the key attempt to analyze the impact of exchange rate volatility (EXV) on the consumer price index (CPI) with considering export and import. Through this study, the literature of relevant fields will be beneficiaries in the séance of policy implication and economic development. 1. INTRODUCTION With all of its growth surprises, Bangladesh has become a rare model for the rest of the world. With the rapid growth of all industries including manufacturing and trade, the country's economy is accelerating. As the country progresses, industry and trade are becoming more important. In the context of Bangladesh's free-market economy, the role of import trade is crucial. Imports from other countries meet a significant portion of the demand for food grains, agricultural inputs, industrial machinery, raw materials and components, fuel, and other basic commodities. Export duties and import taxes are the primary sources of revenue for the country's internal capital when it comes to funding the national budget, but it impacts on the national price level. Annual import of consumer and industrial goods remained prevalent in the years following independence (Al Mamun & Nath, 2005; Rahman & Kashem, 2017; Rahman, Ruma, Hossain, Nahrin, & Majumder, 2021). This dominance has been steadily eroding in recent years, as the pace and volume of imports of raw materials, machinery, and parts of the manufacturing industry have risen in comparison. As a result of priorities set on export-oriented industries and import substitution industries in the current state of Bangladesh's economy, the rate and amount of imports are rising. The essential contention for which an The Economics and Finance Letters 2022 Vol. 9, No. 1, pp. 16-27. ISSN(e): 2312-430X ISSN(p): 2312-6310 DOI: 10.18488/29.v9i1.2923 © 2022 Conscientia Beam. All Rights Reserved.