Examining the Persistence of Real Exchange Rate Misalignment in Iran
Exchange rate, as a measure of a nation's currency against the currencies of other countries indicates the economic condition of the country at international level. Deviation from the equilibrium real exchange rate is due to the creation misalignment. Studies on the exchange rate and its impact on macroeconomic variables indicate that the misalignment or real exchange rate deviation from equilibrium path has a negative impact on macroeconomic variables. In this study, persistence in real exchange rate misalignment during the period 1978-2013 has been studied in Iran. For this reason First Equilibrium real exchange rate equation using Johansen cointegration method was estimated. Then, using the Autoregressive Fractionally Integrated Moving Average model (ARFIMA) and Exact Maximum Likelihood (EML) method persistence of real exchange rate misalignment is determined. Persistence Test results showed that the degree of integration real exchange rate misalignment is equal to 0.42, indicating the persistence of the real exchange rate misalignment in Iran.
Volume (Year): 2 (2016)
Issue (Month): 4 (March)
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