The Effect of Exchange Rate Uncertainty on Import with TARCH Approach
محورهای موضوعی : General Management
Teimour Mohammadi
1
(Department of Economics, School of Management and Economics, Science and Research Branch, Islamic Azad University (IAU), Tehran, Iran)
Mehdi Taghavi
2
(Department of Economics, School of Management and Economics, Science and Research Branch, Islamic Azad University (IAU), Tehran, Iran)
Abolghasem Bandidarian
3
(Department of Business Management, School of Management and Economics, Science and Research Branch, Islamic Azad University (IAU), Tehran, Iran)
کلید واژه: Uncertainty, real exchange rate, Real national income, Real import, TARCH,
چکیده مقاله :
This paper investigates the effect of exchange rate uncertainty on the Iran’s import trade. The exchange rate uncertainty series were generated utilizing the TARCH model. This model analyzes the asymmetric effects. The analysis of uncertainty and asymmetry of the exchange rate shows significant TARCH effect on Iran’s exchange rates. The findings of the study indicatenegative shocks (bad news) had greater impact on volatility during the period. In the next stage imports demand function is estimated. There was a long run relationship among, real import demand, real national income, real exchange rate and uncertainty of real exchange rate. Results show significant and negative impact of exchange rate uncertainty on Iran’s imports, and import demand is positively affected by real national income. Furthermore significant and negative impact of real exchange rate on Iran’s real imports is found.
