Title of article :
Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model
Author/Authors :
Saadati ، Alireza Department of Accounting - College of Humanities - Islamic Azad University, West Tehran Branch , Honarmandi ، Zahra Department of Accounting - College of Humanities - Islamic Azad University, West Tehran Branch , Zarei ، Samira Department of Accounting - College of Humanities - Islamic Azad University, West Tehran Branch
Abstract :
In this paper by applying the NARDL approach, we revisit the “fear of appreciation” hypothesis in the case of Iran by analyzing the effects of exchange rate shocks (both appreciations and depreciations) on the various export-oriented industries in the Tehran Stock Exchange. To this aim, the data used include monthly data of both main variables, i.e. real exchange rate, different stock market indexes (which include Petrochemical, Basic Metal, and Mining industries indexes), and control variables, i.e. inflation, OPEC oil price, and international sanctions. Our findings illustrate that not only have exchange rate shocks significant effects on different stock indexes but also these relationships are asymmetric and nonlinear. Moreover, our results have confirmed the fear of depreciations hypothesis in the export-oriented industries in the Tehran Stock Exchange.
Keywords :
Exchange rate shocks , Export , Oriented Industries , Fear of Depreciation , NARDL model
Journal title :
Iranian Economic Review (IER)
Journal title :
Iranian Economic Review (IER)
