The Study of Exchange Rate Fluctuations on the Export Prices of Iranian Food Products (Dynamic Panel Data Approach)

Ommeh Hani Mousavi Khaledi (), Seyed Abolghasem Mortazavi () and Sadegh Khaliliyan ()
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Ommeh Hani Mousavi Khaledi: Department of Agricultural Economics, University of Tarbiat Modares, Tehran, Iran.
Seyed Abolghasem Mortazavi: Department of Agricultural Economics, University of Tarbiat Modares, Tehran, Iran.
Sadegh Khaliliyan: Department of Agricultural Economics, University of Tarbiat Modares, Tehran, Iran.

Iranian Economic Review (IER), 2019, vol. 23, issue 3, 611-637

Abstract: In this paper, the evaluation of the real exchange rate transfer and the asymmetric transmission of real exchange rate fluctuations to the export prices of food products for the country during the period (20012015) was studied using two approaches of PMG and GMM systems. The TGARCH method was used to calculate the real exchange rate fluctuation index and the Markov Switching method was used to calculate the positive and negative shocks of the real exchange rate fluctuation. The results of the study showed that the real exchange rate transfer was full on the export price of food products in the period under review. The real exchange rate fluctuation has increased production costs, thus increasing the export prices of food products. Export prices also react to positive, negative shocks are not the same exchange rate fluctuations, and the effect of negative shocks, exchange rate volatility has been more than positive shocks.

Keywords: Exchange Rate Transfer; PMG; GMM. (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eut:journl:v:23:y:2019:i:3:p:611

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