Logo
Munich Personal RePEc Archive

The Effects of Exchange Rate Volatility on Economic Growth in Iran

Sanginabadi, Bahram and Heidari, Hassan (2012): The Effects of Exchange Rate Volatility on Economic Growth in Iran. Published in: Actual Problems of Economics , Vol. 132, No. 6 (June 2012): pp. 430-441.

[thumbnail of MPRA_paper_52406.pdf]
Preview
PDF
MPRA_paper_52406.pdf

Download (236kB) | Preview

Abstract

This paper investigates the effects of exchange rate volatilities on economic growth of Iran over the flexible exchange rate regime period (1988:Q1 2007:Q4). We use generalized autoregressive conditional heteroscedasticity (GARCH) family models to generate time varying conditional variance of exchange rate as a standard measure of exchange rate volatility. We also use the autoregressive distributed lag (ARDL) bounds test approach to level relationship as proposed by Pesaran et al. (2001). Our results show a significant relationship between Iranian growth volume and real exchange rate volatility. The long run results of ARDL model show that the effect of exchange rate volatility on economic growth is negative. ECM estimate shows that approximately 22% of disequilibria from the previous period's shocks converge back to the long run equilibrium in the current period.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.