Estimating the Effects of Exchange Rate Volatility on Exports in Iran

作者:Hosseini pour M. R.; Moghaddasi R. 刊名: 上传者:赵丽琢

【摘要】This paper examines the characteristics of short term fluctuations/volatility of the Iranian exchange rate and investigates whether this volatility has affected the Iran`s export flows. In particular the paper investigates the impact of exchange rate volatility on aggregate and sectoral Iranian export flows to the rest of the world, as well as on agriculture and industry sectors exports. The ARDL bounds testing procedures developed by Pesaran et al.(2001) were employed on annual data for the period 1970 to 2006. The results suggest that, depending on the measure of volatility used, either there exist no statistically significant relationship between Iranian exports flows and exchange rate volatility or when a significant relationship exists, it is positive. However this study found a strong evidence of a stationary long run cointegrating aggregate, agriculture, minerals, transport means and fats&oils exports demand functions but No evidence of a long run chemical exports demand relations were found. These results are however not robust as they show great amount of sensitivity to different definitions of variable used.

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Estimating the Effects of Exchange Rate Volatility on Exports in Iran Hosseini pour M.R.1 Moghaddasi R.2 Abstract This paper examines the characteristics of short term fluctuations/volatility of the Iranian exchange rate and investigates whether this volatility has affected the Iran`s export flows. In particular the paper investigates the impact of exchange rate volatility on aggregate and sectoral Iranian export flows to the rest of the world, as well as on agriculture and industry sectors exports. The ARDL bounds testing procedures developed by Pesaran et al.(2001) were employed on annual data for the period 1970 to 2006. The results suggest that, depending on the measure of volatility used, either there exist no statistically significant relationship between Iranian exports flows and exchange rate volatility or when a significant relationship exists, it is positive. However this study found a strong evidence of a stationary long run cointegrating aggregate, agriculture, minerals, transport means and fats&oils exports demand functions but No evidence of a long run chemical exports demand relations were found. These results are however not robust as they show great amount of sensitivity to different definitions of variable used. Keywords: exchange rate volatility, ARDL, cointegration, GARCH. 1. Introduction The real exchange rate is one of the essential economic indicators of economy`s inter- national competitiveness, and therefore, has a strong influence on country`s foreig

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