Investigating the relationship between interest rate andexchange rate: Application to a VAR model
Publish place: اولین کنفرانس ملی مدیریت وسیستم های فازی
Publish Year: 1396
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
ICMFS01_027
تاریخ نمایه سازی: 2 تیر 1397
Abstract:
Finance and economic literature are awash with theories and researches linking exchange rate, interest rate and inflation. This paper investigates the relationship between exchange rate and interest rate for Iran, by using time series techniques such as unit root tests, co-integration test and impulse response function. The study used data for the period 1990 to 2015. The existance of cointegration among the variables implies that thelong run relationship between inflation, interest rate and exchange rate is existent. The empirical results of this study have been unable to detect a clear systematic relationship between interest rates and exchange rates.
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Authors
Habib Ansari Samani
Department of economics, Yazd University, Yazd, Iran
Majid Sheikh Ansari
Department of economics, Yazd University, Yazd, Iran