Investigation the Effects of Exchange Rate Fluctuations on the Sub-Sectors Value Added in Iran

Document Type : Research Article

Authors

1 Ph.D. Students, Department of Economics, Aligudarz Branch, Islamic Azad University, Aligudarz, Iran.

2 Assistant Professor, Department of Economics, Faculty of Economic and Adminstrative Science, Arak University, Arak, Iran

3 Assistant Prof Professor, Department of Economics, Faculty of Humanities, University of Ayatollah Borujerdi, Arak, Iran

Abstract

According to the expansion of trade and the dependence of the production chain in economic subsectors on international trade, exchange rate fluctuations can have a great effect on the international trade and, consequently, on the value added of economic subsectors. Therefore, the main purpose of this study is to investigate the relationship between exchange rate fluctuations and value added of economic subsectors in Iran. For this purpose, the time series data for three main economic sectors and 12 selected subsections in the period 1971-2017 have been used. To estimate the coefficients, first the exchange rate fluctuations are calculated by TV-GARCH method and the total demand shocks is extracted using the Hedrick-Prescott filter and then the ARDL model is applicated to estimate the short and long run coefficients. The results show that exchange rate fluctuations follow a model with time varying coefficients. Exchange rate fluctuations in the short and long term have a negative and significant relationship with industrial value added, exchange rate fluctuations have no significant relations with value added of the service sector, and in the short and long term have a positive and significant relationship with value added of the mining sector. Also, the relationship between exchange rate fluctuations with some industrial subsectors are not compaitable with theoretical literature, for example food and beverage industries have a positive and significant realtions with exchange rate fluctuations in short and long run. Furthermore, chemical subsector value added in short have a significant negative realtinship with exchange rate fluctuations but insignificant in long run.

Keywords

Main Subjects

References

ابراهیمی، سجاد، (1390). «اثر شوک‌های قیمتی نفت و نوسانات نرخ ارز و نااطمینانی حاصل از آنها بر رشد اقتصادی کشورهای منتخب نفتی». فصلنامۀ پژوهش‌نامه بازرگانی، شمارۀ 59، صص: -105.
اسکندری پور، زهره؛ و اسفندیاری، مرضیه، (1398). «عدم تقارن گذر شوک‌های نرخ ارز بر قیمت واردات با تأکید بر تغییرات رژیمی». فصلنامۀ مطالعات اقتصادی کاربردی ایران، سال 8، شمارۀ 29، صص: 215-237.
ایزدی، حمیدرضا؛ و ایزدی، مریم، (1387). «اثرات تغییرات نرخ ارز بر ارزش‌افزوده بخش صنعت با استفاده از مدل کوتانی». تحقیقات اقتصادی، دورۀ 43، شمارۀ 85، صص: 25-60.
بصیرت، مهدی؛ نصیرپور، آرزو؛ و جرجرزاده، علیرضا، (1394). «اثر نوسان‌های نرخ ارز بر رشد اقتصادی با توجه به سطح توسعه بازارهای مالی در کشورهای منتخب عضو اوپک». فصلنامۀ اقتصاد مالی، سال 9، شمارۀ 30، صص: 156-141.
جعفری، مهدی، (1388). «تأثیر نرخ ارز واقعی بر رشد اقتصادی؛ مطالعه موردی برای اقتصاد ایران طی دورۀ 1388-1375». پایان نامه کارشناسی ارشد، دانشگاه مازندران.
طهرانچیان، امیرمنصور؛ راسخی، سعید؛ و مصطفی‌پور، یلدا، (1397). «اثرات آستانه‌ای نوسانات نرخ ارز بر ارزش‌افزودۀ بخش‌های اقتصاد ایران». مطالعات اقتصاد کاربردی ایران، سال 7، شمارۀ 28، صص: 87-61.
فلاحتی، علی؛ احمدی، مرضیه؛ اله‌رضایی، اسعد؛ و نریمانی، احمد، (1395). «تخمین تولید بالقوه و شکاف تولید برای ایران و بررسی سیاست تحقق رشد مستمر اقتصادی (رهیافت فیلترینگ داده‌ها)». سیاست‌های راهبردی و کلان، سال 4، شمارۀ 13، صص: 97-113.
کازرونی، علیرضا؛ رضازاده، علی؛ و محمدپور، سیاوش، (1390). «اثرات نامتقارن نوسانهای نرخ واقعی ارز بر صادرات غیر نفتی ایران با رویکرد غیرخطی مارکوف- سویچینگ». فصلنامۀ تحقیقات مدلسازی اقتصادی، شمارۀ 5، صص: 154-178.
کاظمی، مجتبی؛جلایی اسفندآبادی، عبدالمجید؛ و اکبری‌فرد، حسین، (1393). «بررسی تأثیرنااطمینانی نرخ ارز بر رشد اقتصادی ایران با استفاده از شبکه‌های عصبی». پژوهش‌های رشد و توسعۀ اقتصادی، شمارۀ 15(4)، صص: 25-40.
کریمی‌موغاری، زهرا؛ زبیری، هدی؛ و نادمی، یونس، (1393). «بررسی اثر تغییرات نرخ واقعی ارز در ارزش‌افزودۀ زیربخش‌های صنعت در ایران». تحقیقات اقتصادی، دورۀ 49، شمارۀ 2، صص: 363-383.
کوچکزاده، اسما؛ و جلایی، عبدالمجید، (1393).«بررسی تأثیر نااطمینانی نرخ ارز بر رشد بخش‌های اقتصادی ایران». پژوهش‌های رشد و توسعه اقتصادی، دورۀ 4، شمارۀ 16، صص: 20-11.
 
 
Amado, C. & Terasvirta, T., (2014). “A Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations”. Journal of Business and Economic Statistics, No. 32, Pp: 69–87.
Bajo-Rubio, O.; Berke, B. & McMillan, D., (2020). “Exchange Rate Volatility in the Eurozone”. Economics, No. 14 (2020-5), Pp:1–23.
Basirat, M., Nasirpur, A. & JorJorzadeh, A., (2015). “Impacts of Exchange Rate Voaltility on Economic Growth with According to Financial Development in Selected OPEC Countries”. Financial Economics, No. 9 (30), Pp: 141-156.
Calvo, G. A.; Leiderman, L. & Reinhart, C.M., (1996). “Inflows of Capital to Developing Countries in the 1990s”. Journal of Economic Perspectives, No. 10 (2), Pp: 123-39.
Chan, J. C. C. & Jeliazkov, I., (2009). “Efficient simulation and integrated likelihood estimation in state space models”. International Journal of Mathematical Modelling and Numerical Optimisation, No. 1, Pp: 101–120.
Chan, J. C. C., (2015). “The Stochastic Volatility in Mean Model with Time- Varying Parameters: An Application to Inflation Modeling”. Journal of Business & Economic Statistics, Vol. 35, Pp: 17-28.
Cottani, J. A.; Cavallo, D. F. & Khan, M. S., (1990). “Real Exchange Rate Behavior and Economic Performance in LDCs”. Economic Development and Cultural Change, No. 39, 1, Pp: 61-76.
Dixit, A. & Pindyck, R. S., (1994). “Investment Under Uncertainty”. Princeton University Press, Princeton, New Jersey.
Ebrahimi, S., (2011). “Effects of Oil Price Shocks and Exchange Rate Volatility and Uncertainity on Economic Growth in Selective Oil Countries”. Iranian Journal of Trade Studies, No.15(59), Pp: 83-105.
Engle, R. F.; Lilien, D. M. & Robins, R. P., (1987). “Estimating time varying risk premia in the termstructure: the ARCH-M model”. Econometrica, No. 55(2), Pp: 391–407.
Engle, R. F., (1982). “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”. Econometrica, No. 50(4), Pp: 987-1007.
Eskandaripoor, Z. & Esfandiari, M., (2019). “Asymmetry of exchange rate pass-through shocks on import prices with an emphasis on regime change”. Journal of Applied Economics Studies in Iran, No. 8(29), Pp: 215-237.
Falahati, A.; Ahmadi, M.; Allah rezaee, A. & Narimani, A., (2016). “Estimation of Potential Production and Production Gap in Iran’s Economy (Based on Data-Filtering Methodology and Economic Policy Effect Analyzing)”. Quarterly Journal of The Macro and Strategic Policies, 4(13), Pp: 97-113.
Frankel, J. A.  & Rose, A., (2002). “An estimate of the effect of common currencies on trade and income”. Quarterly Journal of Economics, No. 117, Pp: 437–66.
Frankel, J. A. & Roubini, N., (2001). “The role of industrial country policies in emerging market crises”. Nber Working Papers 8634.
Izadi, H. & Izadi, M., (2009). “The Effect of Exchange Rae Fluctuations on the Value Added of Industrial Sector: By Use of Cottani’s Model”. Journal of Economic Research (Tahghighat- E- Eghtesadi), No.43(4), Pp: 25-60.
Jafari, M., (2009). “Impacts of Real Exchange Rate on the Economic Growth: The Case Study for Iran Economy During 1997-2009”. M.A. Thesis, University of Mazandaran
Janus, T. & Riera-Crichton, D., (2015). “Real Exchange Rate Volatility, Economic Growth and the Euro”. Journal of Economic Integration, No. 30, Pp: 148-171.
Karimi Moughari, Z.; Zobeiri, H. & Nademi, Y., (2014). “Impact of Real Exchange Rate Changes on Value Added of Manufacturing Subsectors in Iran”. Journal of Economic Research (Tahghighat- E- Eghtesadi), No. 49(2), Pp: 363-383.
Kazemi, M.; Jalaee Esfand Abadi, S. & Akbari Fard, H., (2014). “Investigation the Impact of Exchange Rate Uncertainty on Economic Growth in Iran by Neural Networks”. Quarterly Journal of Economic Growth and Development Research, No. 4(15), Pp: 40-25.
Kazerooni, A.; Rezazadeh, A. & Mohammadpoor, S., (2011). “The Asymmetric Effects of Real Exchange Rate Fluctuations on Non-Oil Exports of Iran: A Markov-Switching Approach”. Journal of Economic Modeling Research, No. 2 (5), Pp: 153-178.
Koochakzadeh, A. & Jalaee, S., (2014). “Effect of Exchange Rate Uncertainty on Economic Growth in Iran”. Quarterly Journal of Economic Growth and Development Research, No. 4(16), Pp: 20-11.
Koopman, S. J. & HolUspensky, E., (2002). “The stochastic volatility in mean model: empirical evidence from international stock markets”. Journal of Applied Econometrics, No. 17(6), Pp: 667–689.
Sandoval, J., (2006). “Do Asymmetric Garch models fit better rate volatilities on emerging markets”. In: Working Paper Universidad Externado do Colombia, Odeon. (Pp: 99-116).
Tehranchian, A.; Rasekhi, S. & Mostafapour, Y., (2018). “Threshold Effects of Exchange Rate Fluctuations on Value Added of Iran Economy sectors”. Journal of Applied Economics Studies in Iran, No. 7(28), Pp: 61-85
Wesh, P. K. & Lin, B., (2018). “Exchange rate fluctuations, oil price shocks and economic growth in a small net-importing economy”. Energy, No. 151, Pp: 402-407.
Journal of Applied Economics Studies in Iran
Volume 10, Issue 39
September 2021
Pages 247-267

Files

Share

How to cite

Statistics