چکیده:
This study examines the impacts of real exchange rate fluctuations on the
companies' strategic investments in Iran. The data of 92 listed companies in
Tehran Stock Exchange during the period of 2002-2015 are used. First, the
volatility of exchange rate is estimated by the Generalized Autoregressive
Conditional Heteroskedasticity (GARCH). The model is estimated by GMM and
system GMM methods. The results show that the relationship between exchange
rate volatility and companies' strategic investments has an inverse U-shaped. The
estimation result of GMM method shows that the inflection points for volatility
of exchange rate and its lag are 0.08% and 0.13% respectively. When we estimate
the model with system GMM the inflection point for exchange rate volatility and
its lag are 0.05% and 0.11%, respectively. Moreover, we find out that the first lag
of investment and cash flow variables have had positive and significant effects on
strategic investment.
خلاصه ماشینی:
The Effect of Real Exchange Rate Volatility on Strategic Investment in Iran HamidReza Horry Department of Economics Shahid Bahonar University, Kerman horryhr@uk.
For a firm dependent on imported inputs, exchange rate depreciation leads to increase invariable costs and the reduction in the marginal value of capital; so, the investment level is reduced.
By contrast, for a firm with a larger share of revenues from the export markets, the increase in price competitiveness following an exchange rate depreciation is likely to imply an increase in the expected value of its capital and therefore in its level of investment (Nucci & Pozzolo, 2001).
2. Empirical Studies Zardashty (2014) evaluated the impact of real exchange rate uncertainty on private investment behavior of the Iran during the period 1961-2008.
The results showed that the index of real exchange rate uncertainty has a significant negative effect on private investment to GDP ratio, and imports of capital commodity.
Safdari and Soleymani (2011) presented a paper titled "Exchange rate Uncertainty and Investment in Some of Middle East and North African Countries" which studied the relationship between uncertainty of exchange rate and domestic investment by using the fixed effect approach of panel data model.
They concluded that exchange rate volatility had a favorable effect on foreign direct investment in their sample countries using the model estimates of error correction and a panel cointegration test.
S. companies, found that uncertainty (based on the volatility of stock returns) had a strong negative impact on firm level investment that was robust to the inclusion of Tobin's q or cash flow variables.