چکیده:
Th is paper investigates the effect of exchange rate u ncertain ty on th e Iran’s import trade. The exchange rate uncertainty series were generated utilizing the TARCH model. This model analyzes the asymmetric effects. The analysis of uncertainty and asymmetry of the exchange rate shows significant TARCH effect on Iran’s exchange rates. The findings of the study indicate that negative shocks (bad news) had greater impact on volatility during the period. In the next stage imports demand function is estimated. There was a long run relationship among, real import demand, real national income, real exchange rate and uncertainty of real exchange rate. Results show significant and negative impact of exchange rate uncertainty on Iran’s imports, and import demand is positively affected by real national income. Furthermore significant and negative impact of real exchange rate on Iran’s real imports is found
خلاصه ماشینی:
Results show significant and negative impact of exchange rate uncertainty on Iran’s imports, and import demand is positively affected by real national income.
(1999), Ozbay (1999), Ariz (1998), Caporale and Doroodian (1994), Pozo (1992), Bahmanee-Oskooee (1991), Bini-Smaghi (1991), Perée and Steinheir (1989), Koray and Lastrapes (1989) find evidence for negative effects.
On the other hand, Agolli (2003), Doyel (2001), Ariz (1998), Samanta (1998), McKenzie and Brooks (1997), Kroner and Lastrapes (1993) find evidence for a positive effect for volatility on import and trade volumes of some developed countries.
In addition, Alam and Ahmed (2010), Aristotelous (2001), Bah man i-Oskooee and Payesteh (1993), Bahmani-Oskooee (1991), Hooper and Kohlhagen (1978) have reported no sign ificant relation ship between exchange rate volatility and import.
Also Stavarek (2007), Jarko and Roman (2008), Yoon and Lee (2008), and Evzen and Juraj (2006) investigate the exchange rate volatility with TARCH approach, all of them find significant effect.
The standard demand theory indicates that the partial derivative of the demand for imports with respect to the domestic income would be Definitions of variables are as follows: R e a l Exc h an ge R a t e Real exchange rate defined as P*E/P where P* is the US CPI (2004 = 100) which comes from source IMF; P is the Iranian CPI (2004 = 100), comes from source of economic time series database of central bank of Iran; The Effect of Exchange Rate Uncertainty on Import and E is the nominal unofficial market exchange rate (period average rate) defined as Iranian Rls. per US dollar.