The Impact of Real Exchange Rate Volatility on GDP: The Case Study of Iran
Author(s):
Article Type:
Research/Original Article (بدون رتبه معتبر)
Abstract:
The main objective of the present study is to investigate the impact of exchange rate volatility on GDP of Iran by using seasonal time series data over the period of 1988-2008. In the present study, the real exchange rate volatility index has been estimated incorporating the GARCH model. The Johansens co- integration test indicates that there is a long term relationship among the variables of the model. The main findings of the model show that the exchange rate volatility and real exchange rate have negative and significant effects on GDP and terms of trade and real money liquidity have positive and significant effect on Iranian GDP.
The results of model robustness indicate that in all alternative models which have been estimated, both exchange rate volatility and cross effect of openness and volatility have negative and significant effects on GDP.
The results of model robustness indicate that in all alternative models which have been estimated, both exchange rate volatility and cross effect of openness and volatility have negative and significant effects on GDP.
Keywords:
Language:
Persian
Published:
Journal of Economics and Modeling, Volume:1 Issue: 4, 2011
Pages:
129 to 156
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