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:: year 10, Issue 34 (1-2018) ::
JMBR 2018, 10(34): 558-533 Back to browse issues page
Asymmetric Effects of the Real Exchange Rate Shocks on Private Consumption Expenditures in Iran
Mozhdeh Doost Javid1, Amir Mansour Tehranchian 1
1- university of mazandaran
Abstract:   (1860 Views)

Due to the significant share of consumption expenditures in GDP and its determining role in social welfare, the identifying the effective factors of consumption has been an important study area in macroeconomics. In this paper, based on the Becky and Smith (1993) and Chery, Kau and McGraithan (2002) hypothesis, the asymmetric effects of real exchange rate shocks on private sector consumption expenditures have been investigated for the Iranian economy. For this purpose, we use a GARCH model and Markov-Switching method and also the data are collected for the period 1980:3-2011:3. The results show that disposable income and wealth have positive and significant impacts on private consumption expenditures. Furthermore, the effect of real exchange rate shocks on the consumption expenditures of the private sector is asymmetric and the effects of negative shocks are much stronger than positive shocks. The research also indicates the impact of the positive and negative exchange rate shocks vary across the consumption expenditures cycles. Moreover, the hypothesis that consumption expenditure is sticky downward is not rejected. 

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Type of Study: Empirical Study | Subject: Monetary Policy, Central Banking, and the Supply of Money and Credit (E5)
Received: 2017/06/28 | Accepted: 2018/07/3 | Published: 2018/07/25
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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
year 10, Issue 34 (1-2018) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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