Analysis of the asymmetric effect of oil prices and inflation gap on the informal exchange rate in Iran through the Nonlinear ARDL Approach
In oil economies such as Iran, the exchange rate in the informal market is an important variable influenced by oil price variation. Accordingly, and considering the importance of oil and its price in the Iranian economy, this study seeks to evaluate the effect of the global oil price on the unofficial exchange rate (dollar) in an asymmetric shape alongside the inflation gap between Iran and the United States. For this purpose, model estimation was done using linear and nonlinear ARDL approaches and monthly data during a period from Jan., 1983 to December, 2017. The results indicate that, in the symmetric approach, oil price shocks have negative effects on the informal exchange rate just in a long run. According to the nonlinear approach, however, oil shocks have an asymmetrical effect on the informal exchange rate of Iran. The positive impacts of oil prices on the exchange rate in both the short and the long terms are significant, but the negative impacts are not significant on the exchange rate. Also, the inflation gap between Iran and the United States proved to have a significant effect on the exchange rate with both linear and nonlinear patterns and in the short and long runs.
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