Hamid La'l Khezri; Ali Akbar Naji Meydani; Mostafa Karimzadeh
Volume 19, Issue 59 , July 2014, , Pages 211-236
Abstract
The real exchange rate is considered as a basic indicator in determining the level of international competition that explain the internal situation of the country. Instability in the performance of this Index implies imbalance in the economy. Instability of the real exchange rate will effect total demand ...
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The real exchange rate is considered as a basic indicator in determining the level of international competition that explain the internal situation of the country. Instability in the performance of this Index implies imbalance in the economy. Instability of the real exchange rate will effect total demand of the economy by import and export and will influence overall economy through costs of intermediate and final imported goods. It’s the cause of changes and fluctuations in consumer and wholesale price indices that are calculated as the basis of inflation. The present study investigates the instability of the exchange rate on the private sector's consumption using annual data for the period 1352-1390. In this regard, values of the real exchange rate volatility using the pattern of generalized autoregressive conditional heteroskedasticity (GARCH), and then the impact of the real exchange rate instability on private sector consumption is surveyed by using the method of Autoregressive-Distributed Lag (ARDL). The results of estimations show that in long term, Disposable income, liquidity, real exchange rate and the volatility of the real exchange rate have positive effect and Real interest rates have a negative impact on private sector consumption.
Mehdi Moradpour; Mohsen Ebrahimi; Vahid Abbasion
Volume 11, Issue 35 , July 2008, , Pages 159-176
Abstract
This paper studies the effect of real exchange rate uncertainty on private investment in Iran. We estimate the effect using a model for private investment in Iran and the time series data for the period 1977-2004. We use the GARCH method to construct an estimate of the real exchange rate uncertainty, ...
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This paper studies the effect of real exchange rate uncertainty on private investment in Iran. We estimate the effect using a model for private investment in Iran and the time series data for the period 1977-2004. We use the GARCH method to construct an estimate of the real exchange rate uncertainty, and estimate the model by OLS method. The results show that the effect of uncertainty of real exchange rate on investment by private sector is significantly negative.
Saeed Moshiri; Faezeh Foroutan
Volume 6, Issue 21 , February 2005, , Pages 67-90
Abstract
The movements in oil prices are complex and, therefore, seem to be unpredictable. The traditional linear structural models have not been promising when applied to forecasting, particularly in the case of complex series such as oil prices. Although linear and nonlinear time series models have done much ...
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The movements in oil prices are complex and, therefore, seem to be unpredictable. The traditional linear structural models have not been promising when applied to forecasting, particularly in the case of complex series such as oil prices. Although linear and nonlinear time series models have done much better job in forecasting oil prices, there is yet room for an improvement. If the data generating process is nonlinear, applying linear models could result in misleading forecasts. Model specification in nonlinear modeling can also be very case dependent and time-consuming. In this paper, we model and forecast daily futures oil price, listed in NYMEX, applying ARIMA, and GARCH models, for the period April June 1983 – Jan. 2003. Then, we test for chaos using BDS, Lyapunov exponent, Neural Networks, and Embedding Dimension methods. Finally, we will set up a nonlinear and flexible ANN model to forecast the series. Since the tests for chaos indicate that the oil price in futures markets is chaotic, the ANN model should make better forecasts. The forecasts comparison among the models approves that.
