THE IMPACT OF OIL SHOCKS ON EXCHANGE RATE IN IRAN: A MARKOV-SWITCHING APPROACH

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REZAZADEH ALI

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Journal: Journal of Economic Research and Policies Year:2016 | Volume:24 | Issue:79 Page(s): 123-144

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Title

THE IMPACT OF OIL SHOCKS ON EXCHANGE RATE IN IRAN: A MARKOV-SWITCHING APPROACH

Author(s)

REZAZADEH ALI | Issue Writer Certificate

Keywords

OIL PRICEQ2

REA INDEXQ2

REAL EXCHANGE RATEQ1

MARKOV- SWITCHING MODELQ2

IRANQ2

Abstract

The main objective of this study was to investigate the effects of oil supply, global economic demand and OIL PRICE shocks on the real exchange in IRAN. For this purpose, the monthly data of variables during April 1990 and September 2015 are examined. First, the oil shocks using the SVAR model obtained and then their impact on the exchange rate has been investigated using Markov switching model with 2 regimes. The results show that the REAL EXCHANGE RATE in IRAN often has been in low volatility regime (regime II) and has been on the decline. In this regime, OIL PRICE shocks and the global economic demand shocks have significant negative impact on the REAL EXCHANGE RATE. In other words, a positive global demand and OIL PRICE shocks that caused the boom in the global economy, led to a decline in the exchange rate and appreciation pressures the national currency. The oil supply shocks do not have a statistically significant impact on exchange rate in IRAN economy.

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APA: Copy

REZAZADEH, ALI. (2016). THE IMPACT OF OIL SHOCKS ON EXCHANGE RATE IN IRAN: A MARKOV-SWITCHING APPROACH. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 24(79), 123-144. SID. https://sid.ir/paper/89432/en

Vancouver: Copy

REZAZADEH ALI. THE IMPACT OF OIL SHOCKS ON EXCHANGE RATE IN IRAN: A MARKOV-SWITCHING APPROACH. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2016;24(79):123-144. Available from: https://sid.ir/paper/89432/en

IEEE: Copy

ALI REZAZADEH, “THE IMPACT OF OIL SHOCKS ON EXCHANGE RATE IN IRAN: A MARKOV-SWITCHING APPROACH,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 24, no. 79, pp. 123–144, 2016, [Online]. Available: https://sid.ir/paper/89432/en

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