نرخ ارز، کسری دوگانه و اثر پاتینکین در اقتصاد ایران: آیا ارتباط مقیاس-زمانی مسئله است؟

Exchange rate, twin deficit and Patinkin effect in Iran's economy: Is the time-scale relationship a problem?

Vahid Omidi, Yazdan Goudarzi Farahani and Soheil Roudari

MPRA Paper from University Library of Munich, Germany

Abstract: One of the signs of a healthy economy is the stability of macroeconomic components such as exchange rate, inflation, budget deficit, and foreign trade sector. In the current study, using the TVP-QVAR model, in the period of 1385:01-1397:12, with a monthly frequency, the method of transfer, receive, and also the cause of transfer of volatilities between exchange rate, inflation, budget deficit, and the current account has been investigated. The research results showed that if the growth of the variables is at low, average, and high levels, the type of communication between them will also be different. Specifically, there has been more relationship between research variables' volatilities in low and high growth rates. Also, in the case of a high growth rate, only the exchange rate volatilities cause inflation, current account deficit, and government budget deficit. On the other hand, the government budget deficit has affected the current account deficit only in the case of a low growth rate.

Keywords: Exchange rate; Patinkin Effect; Twins Deficit; TVP-QVAR (search for similar items in EconPapers)
JEL-codes: B23 E31 E51 (search for similar items in EconPapers)
Date: 2022-11-19, Revised 2023-05-23
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Published in Journal of Econometric Modelling 1.8(2023): pp. 129-157

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