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The Study of Threshold Effects of Exchange Rate Fluctuations on Private Investment in Iran

Yalda Mostafapour (), Amir mansour Tehranchian (), Ahmad Jafari Samimi and Saeed Rasekhi ()
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Yalda Mostafapour: Ph.D. Candidate in Economics, University of mazandaran
Amir mansour Tehranchian: Associate Professor of Economics, University of Mazandaran
Saeed Rasekhi: Professor of Economics, University of Mazandaran

Quarterly Journal of Applied Theories of Economics, 2020, vol. 7, issue 1, 91-116

Abstract: The purpose of this study is to investigate threshold effects of exchange rate fluctuations on private investment in Iran. For this purpose, were used the data from 1974-2017 and Generalized Autoregressive conditional heteroskedasticity and atouthreshold regression model. Based on the results obtained, is confirmed existence of the impact of thresholds on and exchange rate fluctuations on private sector investment in Iran. Accordingly, although the effect of increasing exchange rate fluctuations less than the threshold on the investment in this sector was negative, no statistically significant effect was observed. Also in the currency regime with fluctuations above the threshold of 2122 Rials, is increased the negative impact of the exchange rate on private sector investment. So, although, the effect of exchange rate fluctuations on private equity investment has always been negative, if the exchange rate volatility exceeds the threshold, the effect of the exchange rate fluctuations on private sector investment, significant and its reducing effect was reinforced. In addition, according to the research findings, GDP and private sector investment with a lag,have a positive and significant effect and government investment has a negative and significant effect on private sector investment

Keywords: atouthreshold regression; exchange rate fluctuations; Investment private sector (search for similar items in EconPapers)
JEL-codes: C22 E22 F31 (search for similar items in EconPapers)
Date: 2020
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