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Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model

Publish Year: 1401
Type: Journal paper
Language: English
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JR_IER-26-4_003

Index date: 13 October 2023

Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model abstract

In this paper by applying the NARDL approach, we revisit the “fear of appreciation” hypothesis in the case of Iran by analyzing the effects of exchange rate shocks (both appreciations and depreciations) on the various export-oriented industries in the Tehran Stock Exchange. To this aim, the data used include monthly data of both main variables, i.e. real exchange rate, different stock market indexes (which include Petrochemical, Basic Metal, and Mining industries indexes), and control variables, i.e. inflation, OPEC oil price, and international sanctions. Our findings illustrate that not only have exchange rate shocks significant effects on different stock indexes but also these relationships are asymmetric and nonlinear. Moreover, our results have confirmed the fear of depreciations hypothesis in the export-oriented industries in the Tehran Stock Exchange.

Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model Keywords:

Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model authors

Alireza Saadati

Department of Accounting, College of Humanities, West Tehran Branch, Islamic Azad University, Tehran, Iran

Zahra Honarmandi

Department of Accounting, College of Humanities, West Tehran Branch, Islamic Azad University, Tehran, Iran

Samira Zarei

Department of Accounting, College of Humanities, West Tehran Branch, Islamic Azad University, Tehran, Iran

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