Investigation of the Factors Affecting Real Exchange Rate in Iran

Mostafa Goudarzi (), Komeil Khanarinejad () and Zahra Ardakani ()
Additional contact information
Mostafa Goudarzi: Islamic Azad University, Qaemshahr, Iran
Komeil Khanarinejad: Islamic Azad University, Qaemshahr, Iran
Zahra Ardakani: Islamic Azad University, Qaemshahr, Iran

Acta Universitatis Danubius. OEconomica, 2012, issue 4(4), 55-67

Abstract: This 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.

Keywords: eReal exchange rate; VAR model; Johansson test; Impulse response functions; Variance decomposition (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://journals.univ-danubius.ro/index.php/oeconomica/article/view/1299/1229 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dug:actaec:y:2012:i:4:p:55-67

Access Statistics for this article

More articles in Acta Universitatis Danubius. OEconomica from Danubius University of Galati Contact information at EDIRC.
Bibliographic data for series maintained by Daniela Robu ().