اثر نا اطميناني نرخ واقعي ارز بر سرمايه گذاري بخش خصوصي (مطالعه موردي ايران)

The Impact of ExchangeR ate Uncertainty on Private Investment: The Case of Iran (1961-2002)

The main objective of this research is to investigate the relationship between exchange rate uncertainty and private investment by using the Iranian time series over 1961-2002. For this purpose a GARCH model has been developed to measure uncertainty in the real exchange rate. Then, the relationship between the real exchange rate uncertainty and private investment has been estimated by ARDL model. The main findings indicate that there has been a negative short run as well as long run relationship between those two variables. From the prospective of the other effective variables, the effect of GDP, MK on the private investment has been positive and the influence of GI, RER on that has been negative. The negative influence of the government investment reflects its crowding out effect on the private investment in Iran. The significance results of the co-integration test show that there has been an equilibrium long run relationship among those variables in Iran. JEL Classification: F31, E33.