IDEAS home Printed from https://ideas.repec.org/a/ids/ajesde/v3y2014i1p23-32.html
   My bibliography  Save this article

Effect of exchange rate uncertainty on private investment: empirical analysis for Iran

Author

Listed:
  • Leila Ahmadi
  • Roghayeh Torki Samaei
  • Simin Alali

Abstract

From a theoretical point of view, uncertainty affects investment decisions. The sign of overall effect of uncertainty on investment is ambiguous and could be found only by empirical analysis. In this study the volatility of prices and exchange rate are considered as source of uncertainty. Of different criteria for the calculation of uncertainty, an exponential generalised auto regressive conditional heteroskedasticity (EGARCH) and power auto regressive conditional heteroskedasticity (PARCH) models are used to measure the uncertainty of inflation and exchange rate respectively. This study investigates the effect of macroeconomic uncertainty on private sector investment in Iran during 1971 to 2008. Cointegration and vector error correction models are used to obtain the estimates of the cointegrating relations and the long-run dynamics, respectively. The results show that uncertainty and interest rate have significant negative effect on private investment in the long run in Iran while the GDP has significant positive effect on private investment.

Suggested Citation

  • Leila Ahmadi & Roghayeh Torki Samaei & Simin Alali, 2014. "Effect of exchange rate uncertainty on private investment: empirical analysis for Iran," African Journal of Economic and Sustainable Development, Inderscience Enterprises Ltd, vol. 3(1), pages 23-32.
    • Handle: RePEc:ids:ajesde:v:3:y:2014:i:1:p:23-32
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=61631
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ajesde:v:3:y:2014:i:1:p:23-32. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=382 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.