چکیده:
This paper investigates the relationship between macroeconomic instability and private investment of the Iranian economy. The study uses a trivariate VAR(2)-GARCH(1,1)-in-Mean with diagonal BEKK approach to proxied inflation and exchange rate uncertainties as the main indicators of macroeconomic instability. Moreover, Bounds testing approach to level relationship applied to investigate the long-run relationship between macroeconomic instability and private investment. By taking the structural breaks into account, results of the paper reveal that there are mean spillovers between inflation, exchange rate and private investment. There also is a negative effect of macroeconomic instability on private investment over the period of study, 1988:1-2010:4. These results support Pindyck (1982, 1988, 1991), Caballero (1991), Ferderer (1993a), Caballero and Pindyck (1996).
خلاصه ماشینی:
"Introduction This paper investigates the relationship between exchange rate and inflation uncertainties, as the most important indices to macroeconomic instability, and private investment in the Iranian economy 4 .
g. , Zeira ,1990; Driver and Moreton ,1991; Caballero ,1991; Ferderer, 1993b; Aizenman and Marion ,1993; George and Morisset ,1995; Leahy and Whited , 1995; Glezakos and Nugent, 1997; Caruso , 2001; Mazeda Gil ,2004; da Silva Filho, 2007; Bond et al, 2008; Zelekha , 2010; and Fischer 2011, among others).
2004; Ruiz and Pozo, 2007; Clause, 2008; Schmidt and Broll, 2009; and Heidari and Hashemi Pourvaladi, 2011 among others), though we may conclude that the results of these empirical studies are in line with this general believe that the exchange rate volatility has a negative effect on investment (see, e.
g. Gorji and Madani, 2003; Sharifazadeh and Hosseinzadeh Bahreyni, 2003; Daroughe and Mohammadi, 2005; Gaskar et.
2. The Model We apply a Trivariate (TGARCH-M) with a diagonal BEKK approach to generate the conditional variances of inflation and real exchange rate as proxies of macroeconomic instabilities, to test the effect of these uncertainties on private investment.
4. Empirical Results We apply a VAR(2)-GARCH-M model to estimate the relationships between inflation, exchange rate and private investment growth and their respective uncertainties simultaneously.
Investigation of the relationship between real exchange rate uncertainty and private investment in Iran: An application of bivariate generalized autoregressive conditional heteroskedasticity (GARCH)-M Model with BEKK approach."