NONLINEAR EFFECTS OF REAL EXCHANGE RATE UNCERTAINTY ON OIL AND NON-OIL ECONOMIC GROWTH IN IRAN: GARCH-M APPROACH

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MOBINI DEHKORDI MOSTAFA; MOHAMMADI TEYMOUR

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Journal: ECONOMIC RESEARCH REVIEW Year:2014 | Volume:14 | Issue:55 Page(s): 41-70

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Title

NONLINEAR EFFECTS OF REAL EXCHANGE RATE UNCERTAINTY ON OIL AND NON-OIL ECONOMIC GROWTH IN IRAN: GARCH-M APPROACH

Author(s)

MOBINI DEHKORDI MOSTAFA | MOHAMMADI TEYMOUR | Issue Writer Certificate

Keywords

REAL EXCHANGE RATEQ2

ECONOMIC GROWTHQ2

REAL EXCHANGE RATE UNCERTAINTYQ2

GARCH-MQ2

Abstract

In recent years, researchers have been increasingly noticed ECONOMIC GROWTH and its determinants. Exchange rate and its volatility are important factors in determining a country's ECONOMIC GROWTH. Various studies in this regard have shown contradictory results concerning the effects of exchange rate volitality on ECONOMIC GROWTH. The purpose of this study, Considering the importance of this issue, is to evaluate the nonlinear effects of REAL EXCHANGE RATE uncertainty on ECONOMIC GROWTH (oil and non-oil) from 1369/1 to 90/4. In this study, ECONOMIC GROWTH is a function of REAL EXCHANGE RATE uncertainty, investment rate, active population growth and growth rate of human capital. To estimate the amounts of REAL EXCHANGE RATE uncertainty, GARCH In Mean model is used. With the implementation of a program in eviews, a certain level of exchange rate volatility was calculated using criteria of standard deviation minimum. Then, GMM model is used to determine the effects of this volatility on ECONOMIC GROWTH. The results show that the REAL EXCHANGE RATE uncertainty up to a certain level, which is investigated in this research, has a negative effect on ECONOMIC GROWTH, whether oil or non-oil.

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APA: Copy

MOBINI DEHKORDI, MOSTAFA, & MOHAMMADI, TEYMOUR. (2014). NONLINEAR EFFECTS OF REAL EXCHANGE RATE UNCERTAINTY ON OIL AND NON-OIL ECONOMIC GROWTH IN IRAN: GARCH-M APPROACH. ECONOMIC RESEARCH REVIEW, 14(55), 41-70. SID. https://sid.ir/paper/67031/en

Vancouver: Copy

MOBINI DEHKORDI MOSTAFA, MOHAMMADI TEYMOUR. NONLINEAR EFFECTS OF REAL EXCHANGE RATE UNCERTAINTY ON OIL AND NON-OIL ECONOMIC GROWTH IN IRAN: GARCH-M APPROACH. ECONOMIC RESEARCH REVIEW[Internet]. 2014;14(55):41-70. Available from: https://sid.ir/paper/67031/en

IEEE: Copy

MOSTAFA MOBINI DEHKORDI, and TEYMOUR MOHAMMADI, “NONLINEAR EFFECTS OF REAL EXCHANGE RATE UNCERTAINTY ON OIL AND NON-OIL ECONOMIC GROWTH IN IRAN: GARCH-M APPROACH,” ECONOMIC RESEARCH REVIEW, vol. 14, no. 55, pp. 41–70, 2014, [Online]. Available: https://sid.ir/paper/67031/en

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