Threshold Effects of Exchange Rate Fluctuations on Value Added of Iran Economy sectors

The purpose of this study is Threshold Effects of Exchange Rate Fluctuations on Value Added of Iran Economy Sectors (1393-1353). For this purpose, were used Generalized pattern Autoregressive conditional Heteroskedasticity (GARCH) and self threshold regression (TAR). Also is obtained the predicted and unpredictable shock by the Hodrick-Prescott method. According to the research findings, in the industrial sector, exchange rate changes had a neutral effect in the previous values of the threshold level, and the values above the threshold level had a negative effect on the production of this sector. Predicted and unanticipated exchange rate impacts have a negative and significant effect on the industrial sector and have led to a decrease in the production of this sector. In the service sector, although the fluctuations of the exchange rate in the previous levels of the threshold level had a negative effect on the production of this sector, it was positive in values above the threshold level. Predicted shocks have impacted a positive effect and unpredictable shocks have impacted negative effect on the production of this sector. Based on the results obtained in the agricultural sector, the effect of exchange rate fluctuations on the agricultural sector production was neutral. In addition to the predicted shocks, have caused fluctuations more than unforeseen exchange rate shocks in agricultural production. Since the effect of predicted impacts is more than an unpredictable momentum, it is recommended that the government apply more transparency in adopted policies.