جستجوی مقالات مرتبط با کلیدواژه « نوسانات نرخ ارز » در نشریات گروه « اقتصاد »

The exchange rate, as a fundamental variable, alongside other economic variables, has a significant impact on stock returns. Therefore, this study has investigated the effects of the exchange rate and its fluctuations on the pharmaceutical industry's stock returns through linear and nonlinear models during the years 2005 to 2021. In this research, first, the exchange rate fluctuations were modeled using the GARCH model. Then, the symmetrical and asymmetrical effects of the exchange rate and its fluctuations, along with the macroeconomic control variables including the healthcare consumer price index, oil price, and industry-specific control variables including asset return ratio, asset turnover ratio, and debt ratio as well as the COVID-19 dummy variable, were investigated on the return of the pharmaceutical industry stock using both linear ARDL and nonlinear NARDL models. The study shows that in both the short and long term, the impact of the exchange rate on pharmaceutical industry stock returns is greater than the impact of exchange rate fluctuations. Additionally, negative shocks of the exchange rate and its fluctuations have a negative relationship with the pharmaceutical industry's stock returns, while positive shocks of the exchange rate and its fluctuations have a positive effect on the pharmaceutical industry's stock return. The study's findings suggest that the impact of positive and negative shocks of the exchange rate and its fluctuations have asymmetric effects on the return of pharmaceutical industry stock. Results show that control variables and COVID-19 have significant effects on pharmaceutical industry stock returns in linear and nonlinear models.

The purpose of the article is to investigate the effect of exchange rate fluctuations on the growth of different sectors of Iran's economy through import and export channels using the Garch model and simultaneous equations during the period of 2018-1988in Iran.The results showed that exchange rate fluctuations have the greatest impact on industry and mining sectors. With the increase in exchange rate fluctuations, the added value of the industry and mining sector decreased by 0.0349% and the added value of the agricultural sector decreased by 0.008%. Regarding the added value of the service sector, since this sector has little dependence on imports, it is not significantly affected by exchange rate fluctuations. With the increase in exchange rate fluctuations, the rate of economic growth in the whole economy and in these sectors decreases, which is due to the dependence of the Iranian economy and the industrial and agricultural sectors on the import of raw materials and inputs. Finally, based on the results, in order to reduce the economy's dependence on imports and its impact on exchange rate fluctuations, it is suggested to use the import substitution strategy in the country's development plans.

With the tightening of sanctions and the unilateral withdrawal of the United States from the JCPOA in 2017, the maximum pressure on Iran caused great damage to Iran's economy. It is predicted that in the new period after the JCPOA, these sanctions will have many destructive effects on the performance indicators of selected industries of the Tehran Stock Exchange. Based on this, the purpose of this research is to investigate the effect of some macroeconomic variables. During the sanctions periods (before and after the JCPOA), it is based on the performance indicators of the companies admitted to the Tehran Stock Exchange (selected industries: automobile, chemical, medicine and steel).In terms of the purpose of this research, it is considered as applied research, and the current research is of the post-event type, that is, it is based on the analysis of past information (financial statements of companies). Also, the method of this research is correlational in nature and content. The time period of the research includes 11 consecutive years from 1389 to 1399.The results of the research showed that sanctions had a moderating role on the relationship between exchange rate fluctuations and added value of companies. Sanctions in all selected industries, except the automobile industry, have had a moderating role on the relationship between the volume of foreign investment and the investment activities of companies. Sanctions in all selected industries, except the automobile industry, have had a moderating role on the relationship between the price index of products and the profitability of companies. Sanctions in the whole sample and in the chemical industry, on the relationship between the import of intermediate goods and capital and operational activities of companies have a moderating role.Keywords: sanctions, exchange rate fluctuations, volume of foreign investment, performance indicators of companies.

One of the most important factors influencing the exchange rate volatility is currency substitution due to the dollarization of the economy. Currency substitution is a common phenomenon in developing countries. The purpose of this study is to investigate the asymmetric effect of currency substitution on exchange rate volatility in Iran. In this study, the quarterly data of Iran's economy during the period 1990-2021has been used by applying the Bound test method and autoregressive with distributive Lag and Markov switching methods. Based on the results, Model MSIH(2)-AR(2) was chosen as the optimal model. In addition, in measuring the amount of money, due to the important role of defining the amount of money from monetary aggregates, simple sum and Divisia are used. The results show that the Divisia monetary aggregate is more appropriate than the simple sum in the expression of asymmetries. Currency substitution in the low-volatility regime had a negative effect on exchange rate volatility, but in the high-volatility regime, the effect of currency substitution was significantly positive. It illustrates the asymmetry effect of currency substitution on exchange rate volatility in various exchange rate regimes and confirms the asymmetric effect of currency substitution on exchange rate volatility.

In general, economic development requires financing. However, exchange rate volatility hinders securing the capital needed for economic projects resulting from economic risks, transaction and money exchange. Taking into amount the importance of the role of exchange rate volatility, the main purpose of this study is to evaluate the effect of exchange rate volatility along with other macroeconomic variables on the inflow of foreign direct investment in various economic sectors of Iran (industry and oil, services, agriculture) by using the Approach of Autoregressive Distributed Lag (ARDL) during the period 1994 -2018. By using the theoretical literature presented in this study, FDI in Iran is considered a function of exchange rate volatility, capital productivity index, index of economic freedom, inflation rate, and economic growth rate, which according to the results, other than the variable the economic growth rate, the coefficients of all the variables are significant and the sign of their coefficients agrees with the theoretical expectations. Furthermore, the effect of capital productivity index and index of economic freedom variables on FDI was positive and the effect of exchange rate volatility and inflation rate on FDI is negative and increasing exchange rate volatility leads to a decrease in foreign direct investment in the Iranian economy.

The purpose of this study was to investigate the effect of exchange rate as an indicator of economic stability on the stability of assets value in Tehran Stock Exchange during the years 1385 to 1397. For this purpose, the current research is included in descriptive research in terms of research method and applied research in terms of purpose. Also, the design of this research is using the post-event approach. Also, in the current research, the panel data model was used to investigate the relationship between the variables. The results of the research showed that the fluctuation of the exchange rate has a significant effect on the first indicator of the stability of asset value, i.e. the book value of assets, at the level of 95%, and this effect is reversed. The effect of exchange rate fluctuation on the second index of asset value stability, which is the market value of assets, is significant at the 95% level. Also, the effect of exchange rate fluctuation on the third index of asset value stability, i.e. the current value of assets, was also negative and significant at the 95% level. Considering the influence of the exchange rate on the indicators of the stability of the value of assets, it is suggested that relying on domestic production and using raw materials available inside the country is one of the solutions to reduce losses caused by exchange rate fluctuations.

Most of businesses financinig in the country done by the banking network and banking network play a very important role in achieving macroeconomic goals. Accordingly, in the present study, the effect of fluctuations of asset markets (exchange rate, oil price and stock market index) on financial instability index over a period of 1388-1397 monthly is investigated by using the Markov Switching model. The wavelet transform model is used to extract exchange rate fluctuations, oil prices and stock market index. The results show that the effect of exchange rate fluctuations in different regimes and different time periods is different, so that in the short run the exchange rate fluctuations in the high regime of the financial instability index have a different effect than the other periods. Oil price fluctuations have a positive and significant effect in the medium- and long-term periods and in all regimes, and this effect will be stronger in the long run. Also, fluctuations in the stock market have a negative and significant effect only in the short run and under conditions of low regime of financial instability index. These results show that fluctuations have different effects with respect to time period as well as level of financial instability. Therefore, the management of foreign exchange rate and stock markets should take into the account of financial instability level and the timeframe for fluctuations.

In the present study, the effect of exchange rate fluctuations on the smuggling rate of goods in two cases with and without sanctions in 1352-1398 has been investigated annually. In the present study, the Daubechies wavelet transform approach has been used to extract exchange rate fluctuations, and the principal component analysis approach has been used to extract the factor loading of the sanctions index. Finally, to investigate the effect of exchange rate fluctuations according to the period of fluctuations in two cases with and without the sanctions index on the smuggling rate of goods in the country, the Markov switching model has been used. The results show that increasing trade openness regardless of the level and regime of smuggling in the country significantly reduces smuggling. The increase in tax revenues has also had a positive and significant effect on all levels of smuggling. Increasing the size of government in a situation where the smuggling rate of goods is low, has a positive and significant impact on smuggling of goods. Short-term and long-term exchange rate fluctuations in the conditions without sanctions and with sanctions have had a positive and significant effect at all levels and regimes of smuggling of goods and the positive effect of long-term exchange rate fluctuations has been stronger, especially in terms of sanctions. The official exchange rate gap has also had a positive and significant effect on smuggling of goods in high regime. Therefore, the share of the National Development Fund in oil and gas sales revenues should be increased in order to increase the foreign exchange resources of the Central Bank, and in the event of sanctions, it can prevent exchange rate fluctuations, especially in the long run.

The present study was conducted to examine the effect of banking stability on banking system efficiency in Iran's economy by using the Markov switching econometric model during 1984 - 2019. Results indicated a decline in foreign exchange earnings resulting from negative oil shocks to Iran's economy, which led to lower banking system efficiency of the Iranian economy due to exchange rate volatility and higher credit risk. Finally, some issues have led to the revenue instability of Iranian banks. The issues are as follows: high risk of banking activity (credit risk) and its impact on other financial and monetary sectors, high cost and complexity of the lending process, high cost of loans and low funding sources, bad debts, and failure to achieve goals of facilities, disrupted monetary and banking systems, low banking system efficiency, lack of optimal allocation of financial sources to essential sectors, violation of depositors' rights, mistrust of economic agents in monetary and banking system, no trust in future, violation of banks' rights by influential persons, and prevention of financial resources entering to production sector of the economy. Instability problems will be solved if the issues mentioned above are solved.

According to the expansion of trade and the dependence of the production chain in economic subsectors on international trade, exchange rate fluctuations can have a great effect on the international trade and, consequently, on the value added of economic subsectors. Therefore, the main purpose of this study is to investigate the relationship between exchange rate fluctuations and value added of economic subsectors in Iran. For this purpose, the time series data for three main economic sectors and 12 selected subsections in the period 1971-2017 have been used. To estimate the coefficients, first the exchange rate fluctuations are calculated by TV-GARCH method and the total demand shocks is extracted using the Hedrick-Prescott filter and then the ARDL model is applicated to estimate the short and long run coefficients. The results show that exchange rate fluctuations follow a model with time varying coefficients. Exchange rate fluctuations in the short and long term have a negative and significant relationship with industrial value added, exchange rate fluctuations have no significant relations with value added of the service sector, and in the short and long term have a positive and significant relationship with value added of the mining sector. Also, the relationship between exchange rate fluctuations with some industrial subsectors are not compatible with theoretical literature, for example food and beverage industries have a positive and significant relations with exchange rate fluctuations in short and long run. Furthermore, chemical subsector value added in short have a significant negative relationship with exchange rate fluctuations but insignificant in long run.

Manufacturing investment due to the strong backward and forward linkages with other sectors plays an important role in determining the business cycles. In this regard, the purpose of this study is to investigate the asymmetric effect of exchange rate volatility on gross fixed capital formation in manufacturing ang mining sector by applying the NARDL approach and in terms of structural breaks in annual time series data of the Iranian economy during the period 1974-2018. The results show that the estimated model is non linear. Additionally, the effect of exchange rate shocks on the investment in manufacturing and mining in the short term and long term are asymmetric. It is worth mentioning that one percent increase in positive and negative shocks, in exchange rate fluctuations with coefficients of 1.62 and 0.84, respectively, have the negative and significant effects on investment. In addition, the real rate of returns on facilities with a coefficient of 2.71 has a negative and significant effect on investment. Also, manufacturing value-added growth with a cofficient of 1.6 and outstanding facilities by banks and credit institutions to manufacturing and mining sector with a cofficient of 0.31 have positive and significant effects on investment.

In the present study, the economic factors affecting the components of Iran tax revenue in the context of economic sanctions are investigated using the exploratory factor analysis model and the NARDL nonlinear model during the period 1979-2017. To examine tax revenues, personal income tax, corporate income tax and customs income tax were used in the form of three models. According to the results of the exploratory factor analysis model, the first 4 study variables represent sanctions and among the indicators, the price of imported goods and the price of exported goods have the most effect on these factors. In accordance with the estimation results of the NARDL nonlinear model, in the long run, the variables of oil revenue share and sanctions have a significant positive effect on personal tax revenues. Moreover, GDP per capita variable has a significant negative impact on corporate tax revenues in the long run. Finally, in the long run, the effect of variables on customs revenue is theoretically consistent but not statistically significant. Considering the economic conditions of the country at the time of the sanctions, coherent changes are required in the structure and system of the taxes.

In this study, the effect of fluctuations of asset markets (exchange rate, oil price and stock market index) on financial instability index over a period of 1388-1397 monthly is investigated by using the Markov Switching model. The wavelet transform model is used to extract exchange rate fluctuations, oil prices and stock market index. The results show that the effect of exchange rate fluctuations in different regimes and different time periods is different, so that in the short run the exchange rate fluctuations in the high regime of the financial instability index have a different effect than the other periods. Oil price fluctuations have a positive and significant effect in the medium- and long-term periods and in all regimes, and this effect will be stronger in the long run. Also, fluctuations in the stock market have a negative and significant effect only in the short run and under conditions of low regime of financial instability index. These results show that fluctuations have different effects with respect to time period as well as level of financial instability. Therefore, the management of foreign exchange rate and stock markets should take into the account of financial instability level and the timeframe for fluctuations.

The purpose of this study is to investigate threshold effects of exchange rate fluctuations on private investment in Iran. For this purpose, were used the data from 1974-2017 and Generalized Autoregressive conditional heteroskedasticity and atouthreshold regression model. Based on the results obtained, is confirmed existence of the impact of thresholds on and exchange rate fluctuations on private sector investment in Iran. Accordingly, although the effect of increasing exchange rate fluctuations less than the threshold on the investment in this sector was negative, no statistically significant effect was observed. Also in the currency regime with fluctuations above the threshold of 2122 Rials, is increased the negative impact of the exchange rate on private sector investment. So, although, the effect of exchange rate fluctuations on private equity investment has always been negative, if the exchange rate volatility exceeds the threshold, the effect of the exchange rate fluctuations on private sector investment, significant and its reducing effect was reinforced. In addition, according to the research findings, GDP and private sector investment with a lag,have a positive and significant effect and government investment has a negative and significant effect on private sector investment.

The study of the sources of exchange rate fluctuation is of great importance to the monetary authorities of a country. In the present study, Taylor and Mccallum rules are used to examine exchange rate fluctuations, including the impulses of oil, the impulses of risk premium, the impulses of supply, the impulses of demand, and the impulse of monetary policy in a structural vector auto-regressive framework in the period 1991:1-2017:4. The results of the shock reaction indicate that the exchange rate reaction to the impulses of risk, demand and monetary policy is positive but negative to the impulse of oil. This result is the same according to both Taylor and Mccallum rules, although there are differences in the size of the reaction. The exchange rate reaction to the impulses of supply is negative in the Taylor model and positive in the Mccallum model. The results of variance decomposition also show that, in the Taylor model, the demand and monetary policy shocks, and, in the Mccallum model, the risk premium shock have the largest share in the exchange rate fluctuation. In this study, Taylor and Mccallum models are compared, and it is concluded that the Mccallum rule is more powerful than the Taylor rule in Iran's economy to control the impulses. Indeed, due to the fixed interest rate system, the interest rate mechanism is not effective in the Iranian economy, but the liquidity control policy is a rational policy.

The effect of exchange rate fluctuations on foreign trade has always been the focus of economists and economic policymakers. It should be noted that different and sometimes contradictory theories and conclusions have been raised. This study examined the effect of exchange rate fluctuations on Iran's trade balance with Germany and Turkey. The results have been reviewed and compared. These results using NARDL model show the long-run relationship and the asymmetric effects of exchange rate fluctuations on Iran's trade balance with respect to both countries. The J curve has been approved in relation to Turkey, but this phenomenon is not confirmed in relation to Germany. Therefore, considering the economic conditions of Iran, the devaluation policy alone cannot be considered as a policy to improve the balance of trade. The dependence of the domestic sector on the import of primary goods and final products and the low elasticity of non-oil imports and exports are the problems which need to be addressed in economic policies.

As one of the most important economic variables, exchange rate imposes many risks on another sectors of the economy. One of the important functions of the central banks is to proper manage these fluctuations in the foreign exchange market and to reduce the risks it poses to economic activists in the short, medium and long-term periods. This study introduces and estimates new indicators of exchange rate fluctuations in different time scales to manage the exchange rate fluctuations more appropriately according to the central bank's approach. This method utilizes the combination of the wavelet and GARCH models, and data is collected from Iran’s foreign exchange market for the period of Sep-2008 to 2015.

This research is to design a New Keynesian DSGE model in an open economy which could be capable of Calculating optimal monetary policy rule in the face of different shocks (oil revenue and technological shocks), according to the dynamics of the current account and exchange rate fluctuations. In this study, after designing the model, Current account is derived and the model coefficients are calculated through the Bayesian approach. Then the three principals are introduced to the model and dynamism of the variables is investigated in the form of impulse response functions. The optimal policy rule is the policy, which minimizes the welfare loss function in the face of every shock. The results show that the optimal policy rule in the face of oil revenue shock and technological shock will be inflation and exchange rate rule and inflation targeting rule respectively. Finally, the immediate response (In the initial moments after entering shock) of the current account and the trade balance increased in the face of oil shock with the use of the rule of inflation and exchange rate comparing to the other rules.