جستجوی مقالات مرتبط با کلیدواژه "exchange rate shocks" در نشریات گروه "اقتصاد"

Extended abstract
1- The exchange rate is a linkage between domestic and foreign economies. Exchange rate shocks are the main cause of economic fluctuations in commodity-exporting countries like Iran. Considerably, the housing sector has played a crucial role in the urban economy. The housing sector boom drives the urban activities and prohibits unemployment and marginalization in advance.  Hence, the effect of exchange rate shocks on the activities of the housing sector could be supportive for policymakers. But different cities have dissimilar features so would be studied separately. To address this, the main aim of this study is to estimate the effect of exchange rate shocks on the housing sector in Tehran and Mashhad.
2- THEORETICAL FRAMEWORK
The macroeconomic situation may affect the housing sector paradoxically. There are several theories elaborating the effect of exchange rate shocks on the housing sector. On one side, the pull hypothesis says the inflationary condition move the housing sector toward a boom and vice versa. It emphasizes the positive effect of the exchange rate rises on the activities in the housing sector. According to this theory, when the assets price hikes, people tend to buy assets and save themselves from currency depreciation. Hence, this procedure pushes activities in all sectors including buildings. On the other side, the push hypothesis points that in the recession period, entrepreneurs would find the product input cheaper and it stimulates activities in subsectors of economy.
Another theory about the causality between the exchange rate and housing sector is the dutch disease and rational bubbles. This phenomenon leads to bubbles in housing (non-tradable goods) prices. Precisely, every exchange rate shock directly pushs up the price of buildings; therefore, building new houses grow up.
3- This essay uses Factor-Augmented Vector Auto Regression (FAVAR). FAVAR is suggested for solving the limited information problem in VAR models and more variables can be used in these models. Our estimation is based on quarterly data during 1991-2018 for the housing sector of Tehran and Mashhad, also Iran macroeconomics variables.
4- RESULTS & According to the impulse-response functions, the exchange rate impuls cause the similar response in the most of the variables, but size and duration of responces differ gentely among the citites. In both Mashhad and Tehran, the land price grows more rapidly in the short –as a consequence of inflation expectation- and after some quarters, this growth is lost. It is noteworthy that the growth of land price and apartment price in Tehran is roughly two times greater in comparison to Mashhad. It indicates the Tehran housing market responde faster and greater to exchange rate shocks and inflationary situations. When it comes to the apartment price, the growth of this variable is less in comparison to the land price in these cities which is rooted in the inherent scarcity of land in metropolises.
The IRFs show a considerable difference between citities in response of the number of finished buildings and the area of finished buildings. While the number of finished buildings in Mashhad remained unchanged in the long run, the area has increased. Its illustrations that investors in Mashhad have a significant propensity to bigger apartments. It stemmed from increasingly huge construction costs and cheaper land prices in marginall and new areas of Mashhad. In this regard, Tehran face to an adverse situation. The growth of finished buildings numbers is more than the growth of area confirming that the investors will invest in smaller apartments in Tehran. Hence, outcomes elaborate that investor are willing to build bigger apartments in Mashhad city and smaller apartments in Tehran.
5- CONCLUSIONS & SUGGESTIONS
Exchange rate has an influence on biuliong sector and an impact on all of the urban activities through it. This essay trys to estimate this effect using FAVAR model and quartlerly data of Iran macroeconomic variables and also Tehran and Mashahd housing sector data during 1991-2018.  Results show exchange rate shock, propogate housing sector prices and acrtivities in both cities, but there is dissimilarity in the timing and size of effects. Study lay stress on the differences, and emphasize that distinctions should be considered by local policy makers and they should not imitate the capital city programs.

Micro-national analysis suffers from aggregation problem due ignoring sectoral-regional interactions. housing sector plays a crucial role in economy and specially in employment of Iran’s metropolises. Exchange rate shocks can affect housing sector and through this channel, can have an effect on the employment in this sector. Hence, exchange rate shocks can be considered as the obstacles to the fulfilment of urban and economic goals. Because of above-mentioned reasons, this essay investigated the effect of exchange rate shocks on the employment in housing sector of Mashhad city. The authors have substituted Factor-Augmented Vector Auto Regression (FAVAR) for Vector Auto Regression (VAR). FAVAR is suggested for solving the limited information problem in VAR models and more variables can be used in these models. Our results are based on quarterly data during 1991- 2018 period for housing sector, industry and macroeconomics variables. The impulse-response figures indicate that exchange rate shock has led to inflation, stagnation, an instantaneous increase in the unemployment, and an increase in the share of housing sector’s employment of Mashhad city after some periods.

The trade balance is one of the most important macroeconomic topics and one of the strategic macroeconomic constraints for developing countries. The exchange rate is recognized as one of the key factors affecting the trade balance of countries. Exchange rate fluctuations, which causes the fluctuations in relative prices, by destabilizing the economic conditions and increasing the inflation would lead to increase uncertainty in foreign trade market. Some of the consequences of uncertainty are the reduction of trade volume, foreign direct investment, and economic growth. In this study, a neo- Keynesian DSGE model for a small open economy is used to investigate the effect of exchange rate fluctuations on the trade balance of Iran. The success of the model in simulation is observable by studying the moments of the studied variables with the real data of Iran's economy. By estimating the parameters of the model using the Bayesian method during the period of 1990-2016, the results of simulation of the model variables indicate that the positive shock of exchange rate has led to an increase in oil and non-oil exports. Based on the results, foreign exchange shocks have led to improvement of exports and reduction in imports, on the other hand, it has led to improvements in the current account and capital account.

The main purpose of this study is to review the asymmetry of exchange rate pass-through shocks on import prices with an emphasis on regime change during 1974 - 2016. Thus, the Hodrick-Prescott filter has been used to detect an unanticipated exchange rate and Markov switching model to regime changes. The findings of this study show that the import price in Iran follows a two-regime model, and the unpredictable negative and positive exchange shocks are asymmetrically involved in the formation of the degree of exchange rate pass-through on the import price in each of the pricing regimes. So that the effect of negative shocks is more severe compared to the same shocks. The prime cost on the production of imported goods in outside of the country, domestic demand and commercial openness also have a positive and significant impact on import prices in both price regimes.