ASYMMETRIC EFFECT OF EXCHANGE RATE AND ITS VOLATILITY ON IRAN'S NON OIL EXPORT

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RASEKHI SAEED; SHAHRAZI MILAD; ABDOLLAHI MOHAMAD REZA

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Paper Information

Journal: JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH Year:2012 | Volume:2 | Issue:7 Page(s): 149-167

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Information Journal Paper

Title

ASYMMETRIC EFFECT OF EXCHANGE RATE AND ITS VOLATILITY ON IRAN'S NON OIL EXPORT

Author(s)

RASEKHI SAEED | SHAHRAZI MILAD | ABDOLLAHI MOHAMAD REZA | Issue Writer Certificate

Keywords

ASYMMETRIC EFFECTQ1

EXCHANGE RATE RISKQ3

NON-OIL EXPORTQ3

IRANQ2

EXPONENTIAL GARCHQ2

Abstract

This paper examines asymmetric impact of exchange rate and its risk (volatility) on IRAN's non oil export. The ASYMMETRIC EFFECT indicates to differently affect exchange rate and its volatility on export at periods of exchange rate moving up and down. To test this hypothesis, we have first measured the volatility by using EXPONENTIAL GARCH and then we've estimated the export equation including the volatility during time period 1959-2007. Based on the results, the effect of exchange rate on the export is positive and asymmetric. Also, the volatility of exchange rate has a negative and an ASYMMETRIC EFFECT. So, the hypothesis is verified. This may be due to the asymmetric feeling of exporters about the risk and reflect their anti risk behavior. Based on the results, economic policy makers should make different policies while exchange rate moving down compared with its moving up in order to minimize the negative effects of the volatility.

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APA: Copy

RASEKHI, SAEED, SHAHRAZI, MILAD, & ABDOLLAHI, MOHAMAD REZA. (2012). ASYMMETRIC EFFECT OF EXCHANGE RATE AND ITS VOLATILITY ON IRAN'S NON OIL EXPORT. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, 2(7), 149-167. SID. https://sid.ir/paper/192312/en

Vancouver: Copy

RASEKHI SAEED, SHAHRAZI MILAD, ABDOLLAHI MOHAMAD REZA. ASYMMETRIC EFFECT OF EXCHANGE RATE AND ITS VOLATILITY ON IRAN'S NON OIL EXPORT. JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH[Internet]. 2012;2(7):149-167. Available from: https://sid.ir/paper/192312/en

IEEE: Copy

SAEED RASEKHI, MILAD SHAHRAZI, and MOHAMAD REZA ABDOLLAHI, “ASYMMETRIC EFFECT OF EXCHANGE RATE AND ITS VOLATILITY ON IRAN'S NON OIL EXPORT,” JOURNAL OF ECONOMIC GROWTH AND DEVELOPMENT RESEARCH, vol. 2, no. 7, pp. 149–167, 2012, [Online]. Available: https://sid.ir/paper/192312/en

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