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An Empirical Analysis Of The Black Market Exchange Rate In Iran

  • Abbas Valadkhani

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://external-apps.qut.edu.au/business/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
Contact details of provider: Postal: GPO Box 2434, BRISBANE QLD 4001
Web page: http://www.bus.qut.edu.au/faculty/economics/
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  1. 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.
  2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  3. Farzin, Y. H., 1995. "Foreign exchange reform in Iran: Badly designed, badly managed," World Development, Elsevier, vol. 23(6), pages 987-1001, June.
  4. 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.
  5. M. Hashem Pesaran, 1995. "Planning and Macroeconomic Stabilization in Iran," Working Papers 9502, Economic Research Forum, revised Jan 1995.
  6. Mohsen Bahmani-Oskooee, 1996. "The Decline of the Iranian Rial During the Post Revolutionary Period: A Productivity Approach," Working Papers 9615, Economic Research Forum, revised May 1996.
  7. 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.
  8. Pesaran, M.H., 1991. "The Iranian Foreign Exchange Policy And The Black Market For Dollars," Papers 33, California Los Angeles - Applied Econometrics.
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