Investigation of the Factors Affecting Real Exchange Rate in Iran
AbstractThis paper intends to investigate the factors affecting the real exchange rate in Iran in the period of 1978-2008. In this part, the econometric methodology and vector autoregressive model that is known as VAR is used to investigate the effect of proper variables on the real exchange rate. The results of Johansson-Jousilious test confirmed co-integration between variables, and thus long-run equilibrium relationship was confirmed among proper variables. Overall, the impulse and response functions showed that the shocking of variables, oil price and volume of money flows, has a positive impact on the real exchange rate and put it above its permanent level in the whole period of study. The results of variance decomposition showed that the most effects belonged to oil price and then volume of money flow that in fact represents greater relative importance of these variables in comparison with other variables among all model variables.
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Bibliographic InfoArticle provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.
Volume (Year): 15 (2012)
Issue (Month): 44 (June)
Real exchange rate; VAR model; Johansson test; Impulse response functions; Variance decomposition;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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