نویسنده: rahimi boroujerdi، alireza؛
پاییز 1383 - شماره 11 ISC (22 صفحه - از 101 تا 122)
کلید واژه های ماشینی : Rial، Decomposition Variance Real Exchange Rate، Iran، Exchange Rate Trade Trade Balance، Real Exchange Rate، Exchange Rate Changes Trade Trade، Rate Changes Trade Trade Balance، Trade، But Rial Central Bank، Real Exchange Rate Log Trend
In this article, real exchange rate behavior and its effects on macroeconomic variables are studied by explaining two models; impulse function and forecasting predicted error decomposition. Studies show that high artificial currency value has caused domestic and foreign accounts equilibrium disturbance and foreign income decrease due to the slackening of commercial and agricultural activities, foreign debt increase, productive capacity, purchasing power, and national welfare decrease, and general price level increase. Trade balance unexpected reaction is one of the most important points that should be considered while first fostering exchange policy. At the first stage of fostering devaluation policy, contrary to the perspective, trade balance may move into a critical situation. The results show that in Iran’s Economy, the effect of Rial real devaluation policy, after three lags (about a year), caused non- oil export growth and improvement. It should be considered that the positive range of this effect was restricted and lasted for no more than one year. This study approves the presence of J- curve phenomenon in Iran from the first quarter of 1977 till the last quarter of 1995. The results show the importance of import share in changing real exchange rate. Short term production changes are affected by output, import, money supply, real effective exchange rate and non-oil – export respectively. The results also exhibit that two variables – money supply and imports, significantly explain changes in non-oil – exports. Production equation is also affected by its own lags. This means that in the above-mentioned period, exchange and monetary policy could not play an important role in output changes. Ultimately, in the import equation, import is affected weekly by the lags of real exchange rate. It might be explained that during the period of this study, import restrictions as the dominating variable, played the key role of import trend in Iran.خلاصه ماشینی:
"Short term production changes are affected by output, import, money supply, real effective exchange rate and non-oil – export respectively. With the assumption of stability of other effective factors in balance of payment (such as seasonal factors, changing economic situations, structural factors, expectations and capital flight), if the official parity rate of domestic currency lays above its equilibrium parity rate, we will face real export decrease and real import increase. Actually impulse function is based on moving averages (MA) of a VAR model: (1) In equation (1) Xt has moving average process (MA) and includes 5 variables such as: non-oil real export, real effective exchange rate, money supply, real output and import. In intermediate time (fifth quarter), 23% of changes in non-oil exports is explained by itself, 2% by real exchange rate, 16% by money supply, 51% by import and 6% by output. In the long term, the share of each variable in bringing about non-oil export changes are respectively, 20% by it self, 9% by exchange rate, 14% by money supply, 50% by import and 7% by output. In table (4), import changes, (in short, medium and long term) respectively explaining by itself, real exchange rate, money supply, non-oil export and outputs. In table (5), output changes in short term are effected by variables such as output, import, money supply, real exchange rate and non-oil exports. 780811 Table (4): Decomposition of Variance of Import time standard deviation Non-oil export real exchange rate money supply import gross domestic product 1 0."
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