خلاصة:
A central problem in empirical macroeconomics is to determine when and how much
the exchange rate is misaligned. This paper clarifies and calculates the concept
of the equilibrium real exchange rate, using a structural vector auto regression
(VAR) model. By imposing long-run restrictions on a VAR model for Iran, four
structural shocks are identified: nominal demand, real demand, supply and oil
price shocks. The identified shocks and their impulse responses are consistent
with an open economy model of economic fluctuations and highlight the role of
the exchange rate in transmission mechanism of an oil-exporting country. Nominal
and fiscal shocks appear to have important impact on output and the real
exchange rate, even in the short run.
ملخص الجهاز:
"By imposing long-run restrictions on a VAR model for Iran, four structural shocks are identified: nominal demand, real demand, supply and oil price shocks.
The persistent deviation from PPP casts doubt on the Dornbusch (1976) open macroeconomic (overshooting) model, which explains short run real exchange rate volatility with sticky prices and monetary disturbances.
Overall the PPP hypothesis are more likely to be confirmed for studies that has met the following four conditions: when the span of data is long enough to capture a statistical equilibrium relationship, typically 70 or more years; when the trivariate specification, containing domestic and foreign prices and exchange rate, without any restriction(symmetry and proportionality) is used; when bilateral exchange rate other than against the US dollar is used; and when the countries studied has experienced rapid periods of inflation or deflation(Breuer,1994).
Section four traces the impulse response of the variables in the model to the identified shocks, and thereafter calculates the long-run, equilibrium real exchange rate.
______________________________ 1- Central Bank of the Islamic Republic of Iran, Economic Trends, Different Issues Augmented Dickey Fuller (ADF) unit-root tests confirm that one cannot reject the hypothesis that the real exchange rate is non-stationary against the stationary hypothesis (tADF =-1.
To do so, a structural VAR model is specified in real exchange rates, real non-oil GDP, prices and the real oil export revenues, that are identified through long run restrictions on the dynamic multipliers in the model."