Utilization of Mixed Data Sampling model in Identifying the Effects of Monthly Exchange Rate Changes on Seasonal GDP of Iran

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:

The present study intends to use the Mixed Data Sampling model (MIDAS) to investigate the effect of exchange rate changes on the variable of real production in Iran during the period 1397:1  to1380:4  that Provides implement a flexibility model whit  high descriptive power, including variables of varying frequency (eg daily, weekly and monthly) together in a regression.The results of this study show that the MIDAS model is statistically strong in identifying the asymmetric dynamic effects of the independent variable with higher freuency (exchange rate changes) on the dependent variable with lower frequency (GDP) compared to the same frequency model of these variables and shows asymmetry better.Also, based on the obtained results, the intensity of the impact of the momentum and the persistence of each momentum are different, so that the negative momentum of the exchange rate has more intense and lasting effects on Iran's GDP.

Language:
Persian
Published:
Journal of Financial Economics, Volume:17 Issue: 62, 2023
Pages:
161 to 184
https://www.magiran.com/p2547422  
سامانه نویسندگان
  • Sarlak، Ahmad
    Author (4)
    Sarlak, Ahmad
    Associate Professor Economy, Arak Branch, Islamic Azad University, Arak, Iran
اطلاعات نویسنده(گان) توسط ایشان ثبت و تکمیل شده‌است. برای مشاهده مشخصات و فهرست همه مطالب، صفحه رزومه را ببینید.
مقالات دیگری از این نویسنده (گان)