چکیده:
One of the most significant discussion and challenges propounded in the macroeconomics is the effects of fluctuations of exchange rate
on the macroeconomic variables (production, employment, inflation
and … etc).In this direction, the important and noticeable point is the
factors which lead to fluctuations in the exchange rate which, from
amongst these factors as an example, is fluctuations in the oil price. For
this reason, relationship between oil price fluctuation and exchange rate
seems to be important and necessary. Time period used in this study
relates to the years from 1990 to 2010. Also, Autoregressive Distributed
Lag Model (ARDL) has been used to study relationship among the
variables. Results obtained from this study show the negative and
significant effect of oil price fluctuations on the exchange rate. A
negative and significant quantity was obtained from ECM coefficient,
and this problem represents activeness of the model from short-term to
long-term. The oil price changes have left asymmetrical effects on the
countries in the short term, and these effects will continue in the long
term as well. Of course, direction of short term effects, contrary to the
long term effects, is in each level.
خلاصه ماشینی:
"Available statistics and information in some such countries suggest this fact that exportation of the crude oil has been lead to dependence of economy of these countries on the exchange rate incomes resulted from sale of this material for many years so that the entire economical activities, including activity of parts of industry, agriculture and services have been related to the export and revenue of this product directly and indirectly.
In 2010, Sajad Ebrahimi studied effect of the oil price shocks and exchange rate fluctuations and unreliability resulted from them on the economic growth of the selected oil countries and drew conclusion that there exists a long-term relationship between oil price , exchange rate and production in the these countries.
Figure 1: Oil Price fluctuation In order to study existence of cointegration vector and establish long term relationships, quantity of calculating statistic of Banerjee, Dolado and Mestre using the test of model lags, has been calculated and determined as following: 0.
Results of long term effects of oil price fluctuation on the exchange rate are presented in Tableb5: Table 5: Long- Term Estimation Results Variable Coefficient t-statistic Prob β0 -0.
85) With regard to the results obtained from long-term cointegration vector, it can be concluded now that: Variable of oil price fluctuation has had a negative and significant effect on the exchange rate.
06) Results achieved from estimation of the model in the short-term suggest the negative and significant effect of oil price fluctuation on the exchange rate."