Paper Information

Journal:   IRANIAN JOURNAL OF TRADE STUDIES (IJTS)   WINTER 2011 , Volume 15 , Number 57; Page(s) 65 To 85.
 
Paper: 

THE IMPACT OF TRADE OPENNESS ON REAL EXCHANGE RATE VOLATILITY: THE CASE OF IRAN

 
 
Author(s):  KAZEROUNI A.R., FESHARI MAJID, IMANIPOUR A.
 
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Abstract: 
Trade openness as an index of globalization has an effect on exchange rate volatility. In this paper, the impact of trade openness on real exchange rate volatility has been investigated by using annual time series data in Iran over 1971-2005. The GARCH model is used to estimate real exchange volatility. The empirical model has been estimated by using Johansen's multivariate co-integration method, the main results indicate that the trade openness has a negative impact on real exchange rate volatility and both real GDP per capita and inflation have positive and significant effects on real exchange rate volatility.
JEL Classification: C22, E31, F31.
 
Keyword(s): TRADE OPENNESS, REAL EXCHANGE RATE VOLATILITY, GARCH
 
References: 
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