THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON IMPORT: TARCH APPROACH

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MOHAMMADI T.; TAGHAVI M.; BANDIDARIAN A.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH Year:2011 | Volume:1 | Issue:4 Page(s): 211-220

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Title

THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON IMPORT: TARCH APPROACH

Author(s)

MOHAMMADI T. | TAGHAVI M. | BANDIDARIAN A. | Issue Writer Certificate

Keywords

UNCERTAINTY

REAL EXCHANGE RATE

REAL NATIONAL INCOME

REAL IMPORT

TARCH

Abstract

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 analyze the asymmetric effects. As a result, analysis of UNCERTAINTY and asymmetry ‎of the exchange rate shows significant TARCH ‎effect on Iran’s exchange rates‎. We find ‎significant asymmetric effects on the REAL EXCHANGE RATE. Results show negative 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.‎

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APA: Copy

MOHAMMADI, T., TAGHAVI, M., & BANDIDARIAN, A.. (2011). THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON IMPORT: TARCH APPROACH. INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH, 1(4), 211-220. SID. https://sid.ir/paper/326751/en

Vancouver: Copy

MOHAMMADI T., TAGHAVI M., BANDIDARIAN A.. THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON IMPORT: TARCH APPROACH. INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH[Internet]. 2011;1(4):211-220. Available from: https://sid.ir/paper/326751/en

IEEE: Copy

T. MOHAMMADI, M. TAGHAVI, and A. BANDIDARIAN, “THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON IMPORT: TARCH APPROACH,” INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH, vol. 1, no. 4, pp. 211–220, 2011, [Online]. Available: https://sid.ir/paper/326751/en

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