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فهرست مقالات

The Impact of the Real Exchange Rate Volatility on Non-oil Exports: The Case of Iran

نویسنده:

علمی-پژوهشی (وزارت علوم)/ISC (10 صفحه - از 9 تا 18)

کلیدواژه ها :

Non-Oil export ،Iran ،GARCH model ،Johansen’s Co-integration Technique ،Real Exchange Rate

کلید واژه های ماشینی : Impact Real Exchange Rate Volatility ، The Impact Real Exchange Rate ، Real Exchange Rate Volatility Non ، Iran ، Exchange Rate Volatility International Trade ، The Case Iran ، The Impact Exchange Rate Volatility ، Exchange Rate Volatility Trade ، GARCH ، Exchange Rate Volatility Exports

Up to now, the impact of real exchange rate on the non-oil exports of Iran has been mainly on focus. However, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. Hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exchange rate volatility for Iran over the period of 1971-2007. For this purpose, a proxy for the real exchange rate volatility has been estimated by using GARCH model. Then, a conventional exports function has been estimated by Johansen’s multivariate co-integration approach. The empirical findings reveal that among the explanatory variables, the real exchange rate and its volatility have positive and negative impact on the non-oil exports of Iran respectively.

خلاصه ماشینی:

"The empirical findings reveal that among the explanatory variables, the real exchange rate and its volatility have positive and negative impact on the non-oil exports of Iran respectively. As a case study, the main focus of this paper is to examine the effect of real exchange rate and its volatility, as a representative for real exchange rate variability, along with other relevant variables such as GDP and terms of trade on the non-oil exports of Iran from the supply-side perspective. In addition, Mustafa and Nishat (2004) by using the standard error of real exchange rate function and the co-integration method determined that in the long run, the exchange rate uncertainty has an ambiguous impact on exports growth between Pakistan and other major trade partners during 1991-2004. 5. Empirical Results Before the non-oil export function is estimated, the real exchange rate volatility should be measured by appropriate time series methods. In last step, we can apply the predicted value of conditional standard error of residuals as a proxy for exchange rate volatility in the non-oil export regression function. From this model, predicted value of the standard error of as a data can be used for real exchange rate volatility in estimation the non-oil export regression function. For this purpose the real exchange rate volatility has been estimated by using GARCH model, then the non-oil exports function has been specified in a model for Iran from supply perspective and in a linear logarithmic form."


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