چکیده:
The purpose of this study is to investigate threshold effects of exchange rate fluctuations on private investment in Iran. For this purpose, were used the data from 1974-2017 and Generalized Autoregressive conditional heteroskedasticity and atouthreshold regression model. Based on the results obtained, is confirmed existence of the impact of thresholds on and exchange rate fluctuations on private sector investment in Iran. Accordingly, although the effect of increasing exchange rate fluctuations less than the threshold on the investment in this sector was negative, no statistically significant effect was observed. Also in the currency regime with fluctuations above the threshold of 2122 Rials, is increased the negative impact of the exchange rate on private sector investment. So, although, the effect of exchange rate fluctuations on private equity investment has always been negative, if the exchange rate volatility exceeds the threshold, the effect of the exchange rate fluctuations on private sector investment, significant and its reducing effect was reinforced. In addition, according to the research findings, GDP and private sector investment with a lag,have a positive and significant effect and government investment has a negative and significant effect on private sector investment.
خلاصه ماشینی:
Investigating the Threshold Effects of Exchange Rate Volatility on Investment 1 of the Private Sector in Iran Yalda Mostafapour PhD student in Economics, University of Mazandaran, y.
com Received date: 1918/05/17 Accepted date: 1918/10/15 Abstract The purpose of this research is to investigate the threshold effect of exchange rate volatility on private sector investment in Iran.
While some studies have shown that increasing exchange rate volatility has a negative effect on private sector investment (Batu 5 (2016), Christian and James 6 (2017), 1 Nwakoby and Bernard 2 Shakery (2015) 3 Taheri fard et al (2015) 4 Salmanpour, Mousavi and Shokouhifard ( 2019) 5 Batu 6 Christian and James Rozeei, Akhondzadeh and Sameei 1 (2013), Erfani, Hosseini and Maleki 2 (2015), Jalaee, Nejati and Bagheri 3 (2016) showed that the increase in exchange rate volatility on private sector investment has a positive or neutral effect.
Using data from the years 1975-2011 and the Autoregressive Distributed Lag (ARDL) 6 method, these researchers showed that an increase in the real exchange rate has a negative effect on private sector investment.
These researchers showed, using the Autoregressive Distributed Lag method, that the effect of exchange rate fluctuations 1 Dash 2 2SLS 3 Nguyen and Trinh 4 Avdjiev et al 5 PVAR 6 Olaifa and Benjamin on private sector investment in the short and long term is negative.
Erfani, Hosseini, and Maleki (2015) studied the effect of real exchange rate fluctuations on private sector investment in Iran.
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