The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002)
The main objective of this research is to investigate the impact of foreign exchange rate fluctuations on the Iran's macroeconomic variables, especially the real output and domestic price level during 1961-2002. For this purpose, the fluctuations of the exchange rate are decomposed into two par...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2007-06-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Online Access: | https://joer.atu.ac.ir/article_3257_443bcce7d04bdf71f503e80d572d0e73.pdf |
| _version_ | 1797375723091001344 |
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| author | Alireza Kazerooni Nasrin Rostami |
| author_facet | Alireza Kazerooni Nasrin Rostami |
| author_sort | Alireza Kazerooni |
| collection | DOAJ |
| description | The main objective of this research is to investigate the impact of foreign exchange rate fluctuations on the Iran's macroeconomic variables, especially the real output and domestic price level during 1961-2002. For this purpose, the fluctuations of the exchange rate are decomposed into two parts, anticipated and unanticipated components by using Hodrick Prescott filter. The empirical methodology is based on regression model and VAR method. The main findings of this research indicate that the exchange rate fluctuations have a non-symmetric impact on the real output and the domestic price level in Iran. It means that the impact of anticipated and unanticipated shocks on the real output are different from each other; the anticipated shocks of the exchange rate has more impact on the domestic output in comparison with the unanticipated ones. In addition, the negative shocks (unanticipated change in the exchange rate) have more effects on the real output than the positive shocks. In other words, the unanticipated currency appreciation (a negative shock) has influenced the real output more than the unanticipated currency depreciation. Similarly, the impact of the foreign exchange rate shocks on the domestic price level is non-symmetric. It means that the unanticipated exchange rate shocks have more effect on the price than the anticipated ones. Moreover, the absolute effect of the positive shocks (depreciation) on the price level is more pronounced than that of the negative ones. In other words, the absolute impact of the national currency depreciation on the price is higher than that of the appreciation. |
| first_indexed | 2024-03-08T19:28:29Z |
| format | Article |
| id | doaj.art-643f8aa430e14e228205536fbc5dfe00 |
| institution | Directory Open Access Journal |
| issn | 1735-210X 2476-6453 |
| language | fas |
| last_indexed | 2024-03-08T19:28:29Z |
| publishDate | 2007-06-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| spelling | doaj.art-643f8aa430e14e228205536fbc5dfe002023-12-26T07:56:09ZfasAllameh Tabataba'i University PressFaslnāmah-i Pizhūhish/Nāmah-i Iqtisādī1735-210X2476-64532007-06-017251771963257The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002)Alireza Kazerooni0Nasrin Rostami1عضو هیأت علمی دانشگاه تبریزعضو هیأت علمی دانشگاه آزاد اسلامی واحد میانهThe main objective of this research is to investigate the impact of foreign exchange rate fluctuations on the Iran's macroeconomic variables, especially the real output and domestic price level during 1961-2002. For this purpose, the fluctuations of the exchange rate are decomposed into two parts, anticipated and unanticipated components by using Hodrick Prescott filter. The empirical methodology is based on regression model and VAR method. The main findings of this research indicate that the exchange rate fluctuations have a non-symmetric impact on the real output and the domestic price level in Iran. It means that the impact of anticipated and unanticipated shocks on the real output are different from each other; the anticipated shocks of the exchange rate has more impact on the domestic output in comparison with the unanticipated ones. In addition, the negative shocks (unanticipated change in the exchange rate) have more effects on the real output than the positive shocks. In other words, the unanticipated currency appreciation (a negative shock) has influenced the real output more than the unanticipated currency depreciation. Similarly, the impact of the foreign exchange rate shocks on the domestic price level is non-symmetric. It means that the unanticipated exchange rate shocks have more effect on the price than the anticipated ones. Moreover, the absolute effect of the positive shocks (depreciation) on the price level is more pronounced than that of the negative ones. In other words, the absolute impact of the national currency depreciation on the price is higher than that of the appreciation.https://joer.atu.ac.ir/article_3257_443bcce7d04bdf71f503e80d572d0e73.pdf |
| spellingShingle | Alireza Kazerooni Nasrin Rostami The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002) Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| title | The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002) |
| title_full | The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002) |
| title_fullStr | The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002) |
| title_full_unstemmed | The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002) |
| title_short | The Non-Symmetric Effects of Exchange Rate Fluctuations on the Real Output and Price in Iran (1961-2002) |
| title_sort | non symmetric effects of exchange rate fluctuations on the real output and price in iran 1961 2002 |
| url | https://joer.atu.ac.ir/article_3257_443bcce7d04bdf71f503e80d572d0e73.pdf |
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