Showing 3 results for Asymmetric Effects
Dr Alireza Kazerooni, Ali Rezazadeh, Siavash Mohammadpoor,
Volume 2, Issue 5 (10-2011)
Abstract
The main purpose of this article is to investigate the asymmetric effects of the real exchange rate shocks on the non-oil exports of Iran in the period of 1974-2007. For this purpose, using nonlinear Markov-Switching approach, positive and negative shocks of the real exchange rate have been extracted. Based on the results of the Log Likelihood Function and Akaike Information Criterion, the best Markov- Switching model has been specified as MSIH with three regimes for estimating the exchange rate shocks. After extracting the exchange rate shocks, in the next step, the main model of the research has been estimated by using the Johansen-Juselius and DOLS co-integration approaches. Results show that the impact of some explanatory variables (GDP of home country, GDP of Foreign country, Terms of Trade and Openness) on the non-oil exports of Iran has been positive and statistically significant at 95% level of confidence. However, the impact of both positive and negative shocks on the non-oil exports has been negative. Overall, the main hypothesis of symmetrical impacts of the exchange rate shocks has been rejected.
Mehdi Pedram, Shamsollah Shirinbakhsh Masulle, Bahare Rezaei Abyaneh,
Volume 3, Issue 9 (10-2012)
Abstract
A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric. This implies that size (large-versus-small exchange rate changes) and direction (currency appreciations-versus-depreciations) have similar effects. In this paper these assumptions have investigated for Iran's export prices. So, this paper examines the asymmetric exchange rate pass-through to the monthly import price index in Iran during 1997:1–2010:9. Therefore positive and negative exchange rate shocks have been separated using Mork Criteria and large and small exchange rate changes by determining a threshold. The results show that the response of export prices to currency appreciation and depreciation is asymmetric. So, the negative exchange rate shocks have a greater effect on the export prices than the positive exchange rate shocks. According to our estimation results, there is a threshold at 1.3% of monthly changes in exchange rate of Iran and also export prices react asymmetrically to exchange rate at around this threshold. If both direction and size effects are considered, we find that export prices respond asymmetrically to large and small appreciations and depreciations.
Bahram Sahabi, Hossein Asgharpur, Saeed Qorbani,
Volume 8, Issue 29 (10-2017)
Abstract
In this study, using Dynamic Stochastic General Equilibrium Model (DSGE model) the hypothesis of asymmetry of monetary shocks in the Iranian business cycle during the period of 1979-2012 is tested on macroeconomic variables. The designed model broadens the analytical framework of dynamic equilibrium models with respect to the economic characteristics of an oil-exporting country. To extract business cycles, the Hodrick-Prescott filtering process has been used. The results of the research indicate that the effects of positive and negative monetary shocks during ascendancy and economic prosperity are asymmetric, so that the effect of positive shock during the recession period in the Iranian economy during the studied period was stronger than the negative shock level. On the other hand, the results show that the effect of positive shocks during the boom period in the Iranian economy on the price level changes its size in proportion to the size of the shock; however, the effect of negative shocks during the boom on the level of prices initially reduced inflation and then after a short time Inflation increases again. Therefore, it can be stated that in the economy of Iran both inflation and economic boom will increase. In the case of production and investment, this asymmetry is in a way that results in a broader expansionary policy in a recession and, in economic prosperity, the optimal political policy is contractionary.
