The Evaluation of the Impact of Volatility of Oil Revenue on the Relationship between Exchange Rate and Trade Balance of Iran: Non-Linear Approach

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KAZEROONI ALIREZA; BARGHI OSKOEE MOHAMMAD MAHDI; ASGHARPUR HOSSEIN; abolhasanbeigi Hana

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Journal: Journal of Economic Research Year:2019 | Volume:54 | Issue:1 Page(s): 125-145

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Title

The Evaluation of the Impact of Volatility of Oil Revenue on the Relationship between Exchange Rate and Trade Balance of Iran: Non-Linear Approach

Author(s)

KAZEROONI ALIREZA | BARGHI OSKOEE MOHAMMAD MAHDI | ASGHARPUR HOSSEIN | abolhasanbeigi Hana | Issue Writer Certificate

Keywords

Exchange rateQ2

volatility of oil revenueQ2

trade balanceQ1

Markov-switching modelQ1

Abstract

The main objective of this study is to investigate the non-linear impacts of volatility of oil revenue on the relationship between Exchange rate and trade balance of Iran. For this purpose, using annual time series over the period 1973 to 2016, volatility of oil revenue as the most important prevailing features of Iran economy has been quantified using EGARCH approach. After that the effect on the relationship between Exchange rate and trade balance has been estimated applying Markov-Switching technique. The empirical findings indicate that trade balance follow triple trade regimes (high, medium and low trade deficit). volatility of oil revenue in 2 regimes (low and high trade deficit) have negative and significant impact on the relationship between Exchange rate and trade balance. So that volatility of oil revenue has caused to debilitation of Exchange rate effect on the trade balance.

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APA: Copy

KAZEROONI, ALIREZA, BARGHI OSKOEE, MOHAMMAD MAHDI, ASGHARPUR, HOSSEIN, & abolhasanbeigi, Hana. (2019). The Evaluation of the Impact of Volatility of Oil Revenue on the Relationship between Exchange Rate and Trade Balance of Iran: Non-Linear Approach. TAHGHIGHAT-E-EGHTESADI, 54(1 ), 125-145. SID. https://sid.ir/paper/12177/en

Vancouver: Copy

KAZEROONI ALIREZA, BARGHI OSKOEE MOHAMMAD MAHDI, ASGHARPUR HOSSEIN, abolhasanbeigi Hana. The Evaluation of the Impact of Volatility of Oil Revenue on the Relationship between Exchange Rate and Trade Balance of Iran: Non-Linear Approach. TAHGHIGHAT-E-EGHTESADI[Internet]. 2019;54(1 ):125-145. Available from: https://sid.ir/paper/12177/en

IEEE: Copy

ALIREZA KAZEROONI, MOHAMMAD MAHDI BARGHI OSKOEE, HOSSEIN ASGHARPUR, and Hana abolhasanbeigi, “The Evaluation of the Impact of Volatility of Oil Revenue on the Relationship between Exchange Rate and Trade Balance of Iran: Non-Linear Approach,” TAHGHIGHAT-E-EGHTESADI, vol. 54, no. 1 , pp. 125–145, 2019, [Online]. Available: https://sid.ir/paper/12177/en

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