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Paper Information

Journal:   INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH   FALL 2011 , Volume 1 , Number 4; Page(s) 211 To 220.
 
Paper: 

THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON IMPORT: TARCH APPROACH

 
 
Author(s):  MOHAMMADI T., TAGHAVI M., BANDIDARIAN A.*
 
* DEPARTMENT OF BUSINESS MANAGEMENT, SCHOOL OF MANAGEMENT AND ECONOMICS, SCIENCE AND RESEARCH BRANCH, ISLAMIC AZAD UNIVERSITY (IAU), TEHRAN, IRAN
 
Abstract: 

This paper investigates the effect of exchange rate uncertainty on the Iran’s import trade. The exchange rate uncertainty series were generated utilizing the TARCH model. This model analyze the asymmetric effects. As a result, analysis of uncertainty and asymmetry of the exchange rate shows significant TARCH effect on Iran’s exchange rates. We find significant asymmetric effects on the real exchange rate. Results show negative shocks (bad news) had greater impact on volatility during the period. In the next stage imports demand function is estimated. There was a long run relationship among, real import demand, real national income, real exchange rate and uncertainty of real exchange rate. Results show significant and negative impact of exchange rate uncertainty on Iran’s imports, and import demand is positively affected by real national income. Furthermore significant and negative impact of real exchange rate on Iran’s real imports is found.

 
Keyword(s): UNCERTAINTY, REAL EXCHANGE RATE, REAL NATIONAL INCOME, REAL IMPORT, TARCH
 
References: 
 
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