INVESTIGATING ASYMMETRIC EFFECTS OF EXCHANGE RATE FLUCTUATIONS ON REAL OUTPUT AND PRICES LEVELS HYPOTHESIS (A CASE STUDY OF IRAN)

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SAMETI MORTEZA; KHANZADI AZAD; YAZDAN MEHDI

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Journal: Journal of Monetary and Banking Research Year:2010 | Volume:2 | Issue:4 Page(s): 35-57

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Title

INVESTIGATING ASYMMETRIC EFFECTS OF EXCHANGE RATE FLUCTUATIONS ON REAL OUTPUT AND PRICES LEVELS HYPOTHESIS (A CASE STUDY OF IRAN)

Author(s)

SAMETI MORTEZA | KHANZADI AZAD | YAZDAN MEHDI | Issue Writer Certificate

Keywords

EXCHANGE RATE SHOCKSQ3

ASYMMETRIC EFFECTS OF SHOCKSQ3

HODRICK-PRESCOTT FILTERQ2

Abstract

Exchange rate fluctuations, affects aggregate demand by means such as imports, exports and money demand, and it also affects aggregate supply by means of imported inputs costs. So the result of these effects on real output and prices depends on economic performance of country.Generally, a positive shock of exchange rate in goods market results in lowering export prices while raising import prices, so demand for domestic goods increases. On the other hand with devaluation, firms' liquidity demand raises and so money demand. In supply side of economy, a positive shock of exchange rate (devaluation), raises imported inputs costs and hence product costs and prices in developing countries.The objective of this study is to investigate hypothesis of asymmetric effects of exchange rate fluctuations on real output and prices in Iran's economy and present guidance to handle these effects. To do this, HODRICK-PRESCOTT FILTER is used to decompose shocks and assess their effects on real output and price during 1983-2007.The results show that, the hypothesis of asymmetric effects of EXCHANGE RATE SHOCKS on output is accepted but this hypothesis for prices is rejected.

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APA: Copy

SAMETI, MORTEZA, KHANZADI, AZAD, & YAZDAN, MEHDI. (2010). INVESTIGATING ASYMMETRIC EFFECTS OF EXCHANGE RATE FLUCTUATIONS ON REAL OUTPUT AND PRICES LEVELS HYPOTHESIS (A CASE STUDY OF IRAN). MONEY AND ECONOMY (PERSIAN), 2(4), 35-57. SID. https://sid.ir/paper/168091/en

Vancouver: Copy

SAMETI MORTEZA, KHANZADI AZAD, YAZDAN MEHDI. INVESTIGATING ASYMMETRIC EFFECTS OF EXCHANGE RATE FLUCTUATIONS ON REAL OUTPUT AND PRICES LEVELS HYPOTHESIS (A CASE STUDY OF IRAN). MONEY AND ECONOMY (PERSIAN)[Internet]. 2010;2(4):35-57. Available from: https://sid.ir/paper/168091/en

IEEE: Copy

MORTEZA SAMETI, AZAD KHANZADI, and MEHDI YAZDAN, “INVESTIGATING ASYMMETRIC EFFECTS OF EXCHANGE RATE FLUCTUATIONS ON REAL OUTPUT AND PRICES LEVELS HYPOTHESIS (A CASE STUDY OF IRAN),” MONEY AND ECONOMY (PERSIAN), vol. 2, no. 4, pp. 35–57, 2010, [Online]. Available: https://sid.ir/paper/168091/en

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