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Analyzing the Asymmetric Effects of Foreign Exchange Rate Shocks on the Value of Iran's Industrial Products Based on the NARDL Model
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Afshin Khani1   , Ezatollah Abbasian *2 , Ebrahim Nasiroleslami3 |
1- Kish International Campus of Tehran University
2- Department of Financial Engineering, Faculty of Management, University of Tehran
3- Faculty of Science, Bu-Ali Sina University |
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Abstract: (86 Views) |
Analyzing the role of exchange rate shocks in shaping micro and macro aspects of emerging economies is one of the main topics of academic and policy discussions. The purpose of this research is to analyze the asymmetric effects of currency shocks on the value of industrial production in Iran based on the NARDL model. The results of this research showed that the exchange rate does not have the same effect on the value of industrial products, and there is a great difference between industries in terms of the intensity, direction and significance of its effect. Based on the results of the research in the long-term time horizon of increasing exchange rate shocks in the industries of "other non-metallic mineral products", "coke and refining", "basic metals", "tiles and ceramics (90% confidence level)", "rubber and plastic". "Wood and paper products (90% confidence level)", "food and beverage products except sugar" and "textiles" have a positive and significant effect. Also, in the long-term time horizon, positive exchange rate shocks have a negative and significant effect in the industries of "Automotive and Parts Manufacturing", "Chemical Products", "Pharmaceutical Materials and Products" and "Cement". In the long-term time horizon, negative exchange rate shocks in all investigated industries except "wooden and paper products" have a negative and significant effect on the value of the real products of that sector; However, the effect of negative exchange rate shocks in the "other non-metallic mineral products" sector is significant at the 90% confidence level.
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Article number: 3 |
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Full-Text [PDF 1432 kb]
(51 Downloads)
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Type of Study: Empirical Study |
Subject:
Prices, Business Fluctuations, and Cycles (E3)
Received: 2024/01/17 | Accepted: 2024/08/14 | Published: 2024/09/11
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