Paper Information

Journal:   JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH   SUMMER 2012 , Volume 2 , Number 7; Page(s) 149 To 167.
 
Paper: 

ASYMMETRIC EFFECT OF EXCHANGE RATE AND ITS VOLATILITY ON IRAN'S NON OIL EXPORT

 
 
Author(s):  RASEKHI SAEED, SHAHRAZI MILAD, ABDOLLAHI MOHAMAD REZA
 
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Abstract: 

This paper examines asymmetric impact of exchange rate and its risk (volatility) on Iran's non oil export. The asymmetric effect indicates to differently affect exchange rate and its volatility on export at periods of exchange rate moving up and down. To test this hypothesis, we have first measured the volatility by using exponential GARCH and then we've estimated the export equation including the volatility during time period 1959-2007. Based on the results, the effect of exchange rate on the export is positive and asymmetric.  Also, the volatility of exchange rate has a negative and an asymmetric effect. So, the hypothesis is verified. This may be due to the asymmetric feeling of exporters about the risk and reflect their anti risk behavior. Based on the results, economic policy makers should make different policies while exchange rate moving down compared with its moving up in order to minimize the negative effects of the volatility.

 
Keyword(s): ASYMMETRIC EFFECT, EXCHANGE RATE RISK, NON-OIL EXPORT, IRAN, EXPONENTIAL GARCH
 
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