THE ASYMMETRIC EFFECTS OF REAL EXCHANGE RATE FLUCTUATIONS ON NON-OIL EXPORTS OF IRAN: A MARKOV-SWITCHING APPROACH

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KAZEROONI ALIREZA; REZAZADEH ALI; MOHAMMADPOUR SIAVASH

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2011 | Volume:- | Issue:5 Page(s): 153-178

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Title

THE ASYMMETRIC EFFECTS OF REAL EXCHANGE RATE FLUCTUATIONS ON NON-OIL EXPORTS OF IRAN: A MARKOV-SWITCHING APPROACH

Author(s)

KAZEROONI ALIREZA | REZAZADEH ALI | MOHAMMADPOUR SIAVASH | Issue Writer Certificate

Keywords

NON-OIL EXPORTSQ3

REAL EXCHANGE RATEQ2

ASYMMETRIC EFFECTSQ2

MARKOV- SWITCHING APPROACHQ2

Abstract

The main purpose of this article is to investigate the ASYMMETRIC EFFECTS of the REAL EXCHANGE RATE shocks on the NON-OIL EXPORTS of Iran in the period of 1974-2007. For this purpose, using nonlinear Markov-Switching approach, positive and negative shocks of the REAL EXCHANGE RATE have been extracted. Based on the results of the Log Likelihood Function and Akaike Information Criterion, the best Markov- Switching model has been specified as MSIH4 with three regimes for estimating the exchange rate shocks. After extracting the exchange rate shocks, in the next step, the main model of the research has been estimated by using the Johansen-Juselius and DOLS co-integration approaches. Results show that the impact of some explanatory variables (GDP of home country, GDP of Foreign country, Terms of Trade and Openness) on the NON-OIL EXPORTS of Iran has been positive and statistically significant at 95% level of confidence. However, the impact of both positive and negative shocks on the NON-OIL EXPORTS has been negative. Overall, the main hypothesis of symmetrical impacts of the exchange rate shocks has been rejected.

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APA: Copy

KAZEROONI, ALIREZA, REZAZADEH, ALI, & MOHAMMADPOUR, SIAVASH. (2011). THE ASYMMETRIC EFFECTS OF REAL EXCHANGE RATE FLUCTUATIONS ON NON-OIL EXPORTS OF IRAN: A MARKOV-SWITCHING APPROACH. JOURNAL OF ECONOMIC MODELING RESEARCH, -(5), 153-178. SID. https://sid.ir/paper/208878/en

Vancouver: Copy

KAZEROONI ALIREZA, REZAZADEH ALI, MOHAMMADPOUR SIAVASH. THE ASYMMETRIC EFFECTS OF REAL EXCHANGE RATE FLUCTUATIONS ON NON-OIL EXPORTS OF IRAN: A MARKOV-SWITCHING APPROACH. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2011;-(5):153-178. Available from: https://sid.ir/paper/208878/en

IEEE: Copy

ALIREZA KAZEROONI, ALI REZAZADEH, and SIAVASH MOHAMMADPOUR, “THE ASYMMETRIC EFFECTS OF REAL EXCHANGE RATE FLUCTUATIONS ON NON-OIL EXPORTS OF IRAN: A MARKOV-SWITCHING APPROACH,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. -, no. 5, pp. 153–178, 2011, [Online]. Available: https://sid.ir/paper/208878/en

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