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Investigating the Asymmetric Effects of Exchange Rates on Iran's GDP (AMIDAS Model)
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ROJA TELIK1   , Abbas Najafizadeh * 2, Seyed Fakhreddin Fakhrhosseini3 , Ahmad Sarlak4 |
1- PhD student, Department of Economics, Arak Branch, Islamic Azad University, Arak
2- Assistant Professor, Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran,
3- Associate Professor, Department of Accounting, Tonekabon Branch, Islamic Azad University
4- Assistant Professor, Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran |
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Abstract: (428 Views) |
Abstract
This study goes beyond the the prevailing use of averaged data to investigate the hidden evidence of asymmetry due to the effect of monthly exchange rate fluctuations on Iran's quarterly GDP during the period 1380:1-1397-4. For this purpose, the regression model of Mixed Data with different asymmetric frequency (MIDAS model) is use, which allows time series variables with different frequencies (eg daily, weekly and monthly) to be put together in a regression.
The results showed that the Mixed Data with different frequency Approach compared to the same frequency model of these changes is statistically stronger and provides a better fit, and also the Exchange rate fluctuations have asymmetric effects on Iran's GDP, And depending on the number of optimal lags and the sources of changes, production gives different responses to different positive and negative shocks, So that Iran's gdp In response to the negative fluctuations of the exchange rate showing a stronger immediate reaction and more lasting effects. ue to the existence of asymmetric effects of currency shocks on production, it is suggested that policy makers should not consider the absolute value of the effects of positive and negative currency policies to be the same in regulating currency policies in order to advance macroeconomic goals.
Keywords: exchange rate, GDP, asymmetric effects, approach of mixed data with different frequencies (AMIDAS).
JEL Classification: E230, C220, C500.
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Full-Text [PDF 1669 kb]
(186 Downloads)
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Type of Study: Empirical Study |
Subject:
Macroeconomics: Consumption, Saving, Production, Employment, and Investment (E2)
Received: 2021/05/11 | Accepted: 2023/03/4 | Published: 2023/05/1
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