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Abstract

This paper investigates the effects of exchange rate volatilities on economic growth of Iran over the flexible exchange rate regime period 1988:Q1 2007:Q4. We use generalized autoregressive conditional heteroscedasticity GARCH family models to generate time varying conditional variance of exchange rate as a standard measure of exchange rate volatility. We also use the autoregressive distributed lag ARDL bounds test approach to level relationship as proposed by Pesaran et al. 2001. Our results show a significant relationship between Iranian growth volume and real exchange rate volatility. The long run results of ARDL model show that the effect of exchange rate volatility on economic growth is negative. ECM estimate shows that approximately 22% of disequilibria from the previous period-s shocks converge back to the long run equilibrium in the current period.



Item Type: MPRA Paper -

Original Title: The Effects of Exchange Rate Volatility on Economic Growth in Iran-

Language: English-

Keywords: exchange rate volatility; economic growth; bounds test; Iran.-

Subjects: F - International Economics > F3 - International Finance > F31 - Foreign ExchangeO - Economic Development, Innovation, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O40 - GeneralO - Economic Development, Innovation, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence-





Autor: Sanginabadi, Bahram

Fuente: https://mpra.ub.uni-muenchen.de/52406/







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