Volume 17, Issue 1 (2017)                   QJER 2017, 17(1): 121-143 | Back to browse issues page

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aziznejad S, Komijani A. The Effects of Exchange Rate Volatility on the Selected Macroeconomic Variables: Case Study of IRAN. QJER. 2017; 17 (1) :121-143
URL: http://ecor.modares.ac.ir/article-18-6317-en.html
1- Assistant Professor of Economics, Islamic Parliament Research Center of The Islamic Republic of IRAN
2- Faculty of tehran university
Abstract:   (13833 Views)
Exchange rate is the key variable in each economy. This paper tries to examine the effects of volatilities in exchange rate market on selected macroeconomic variables in Iran, and to present some strategic recommendations. Inspiring by Danmola method, this paper uses the variance decomposition and impulse response function based on Cholesky decomposition of Vector-autoregressive method. The findings show that real exchange rate volatility has the most effect on profit rate of the short-run deposits during 2001:Q1-2012:Q4. Following profit rate of short-run deposits, the highest variation in inflation rate is explained by real exchange rate volatility.  The economic growth is affected positively by exchange rate volatility (EEV) in both short- and long-run, but it is influenced negatively by EEV in the midterm.  On the other hand, trade balance is deteriorated by shocks in real exchange rate with short lags. Our findings are compatible with those of similar studies among developing countries.
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Article Type: Research Paper | Subject: E32 - Business Fluctuations; Cycles
Received: 2014/02/5 | Accepted: 2015/05/18 | Published: 2017/03/21

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