چکیده:
One of the fundamental indicators in determining the degree of international competitiveness and explaining the internal economic status of each country is the real exchange rate, the stability of which is essential for preventing turmoil and fluctuations in the real exchange rate. One of the determining factors of exchange rate fluctuations is economic openness, in which a country's international exchanges with the world expand, leading to the sustainable growth of economic indicators. In this study, the relationship between exchange rate volatility and economic openness for 24 OECD countries and Iran during the years 1975-2009 has been examined through ARCH and Hayo (2002) models using STATA software. The results show that economic openness moderates exchange rate fluctuations in OECD countries, which often have floating exchange rate regimes. These results are also confirmed for Iran, which has a managed exchange rate regime.
خلاصه ماشینی:
In this study, the relationship between exchange rate volatility and economic openness for 24 OECD countries and Iran during the years 1975-2009 has been investigated through ARCH models and Hau (2002) using STATA (12) software.
The real exchange rate change is calculated as follows: (refer to page image) Unpredictable labor supply shocks create a negative relationship between economic openness and real exchange rate volatility, similar to monetary shocks.
Therefore, for the data of country i, the standard deviation of the percentage change in the real effective exchange rate is described as follows: (refer to page image) Following the theoretical model (assuming other conditions remain constant), it suggests a negative correlation between volatility and economic openness.
The results are summarized in the tables below: 1- Hooper and Kohlhagen 2- Hausman Test 3- Hsiao Table (1): Estimation of the exchange rate volatility model using the GLS method (Refer to page image) Source: Research estimates As the results presented in Table (1) show, economic openness has created a negative and significant effect on exchange rate volatility.
Table (2): Estimation of the volatility model considering GDP fluctuations (Refer to page image) Source: Research estimates The results presented in Table (2) show that economic openness has created a negative and significant effect on exchange rate volatility.
Table (9): Estimation of the exchange rate volatility model for Iran (Refer to page image) Source: Research estimates As the results presented in Table (10) show, economic openness has created a negative and significant effect on exchange rate volatility.
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