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An Empirical Analysis Of The Black Market Exchange Rate In Iran

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Author Info
Abbas Valadkhani
Abstract

The Iranian rial has been depreciated on average about 12 per cent per annum during the last four decades. This paper examines the long- and short-run determinants of the black market exchange rate employing the cointegration techniques and the annual time series data from 1960 to 2000. Broadly consistent with previous studies, it is found that the black market exchange rate is cointegrated with inflation, real GDP and the import price index. However, in the short run only high inflation and a meagre real growth in GDP are responsible for the depreciation of Iranian currency.

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File URL: http://www.bus.qut.edu.au/faculty/schools/economics/documents/discussionPapers/2003/DP%20144%20Valadkhani.pdf
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Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 144.

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Date of creation: 20 May 2003
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Handle: RePEc:qut:dpaper:144

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  1. Farzin, Y. H., 1995. "Foreign exchange reform in Iran: Badly designed, badly managed," World Development, Elsevier, vol. 23(6), pages 987-1001, June. [Downloadable!] (restricted)
  2. Bahmani-Oskooee, Mohsen, 1996. "The black market exchange rate and demand for money in Iran," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 171-176. [Downloadable!] (restricted)
  3. Pesaran, H., 1995. "Planning and Macroeconomic Stabilization in Iran," Cambridge Working Papers in Economics 9508, Faculty of Economics, University of Cambridge.
  4. Bahmani-Oskooee, Mohsen, 1993. "Black Market Exchange Rates versus Official Exchange Rates in Testing Purchasing Power Parity: An Examination of the Iranian Rial," Applied Economics, Taylor and Francis Journals, vol. 25(4), pages 465-72, April.
  5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  6. Pesaran, M.H., 1991. "The Iranian Foreign Exchange Policy And The Black Market For Dollars," Papers 33, California Los Angeles - Applied Econometrics.
  7. Mohsen Bahmani-Oskooee, 1995. "Source Of Inflation In Post-Revolutionary Iran," International Economic Journal, Korean International Economic Association, vol. 9(2), pages 61-72, June. [Downloadable!] (restricted)
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
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