Effects of Exchange Rate Volatility on Seaborne Import Volume In Iran
Subject Areas : International Journal of Finance, Accounting and Economics Studiesmahdokht habibi 1 , abbas memarnezhad 2 * , zahra afshari 3
1 - Department of Management and Economic, Science and Research branch, Islamic Azad University, Tehran, Iran.
2 - Department of Management and Economic, Science and Research branch, Islamic Azad University, Tehran, Iran.
3 - Professor of Economics, Department of Economics, The Faculty of SocialSciences and Economics, Alzahra University, Tehran, Iran.
Keywords: Seaborne Import Volume , Exchange Rate Volatility , EGARCH, ARDL.,
Abstract :
The exchange rate is a key variable in the economy. Given the recent currency fluctuations, which profound consequences on a country's trade, especially in the maritime sector the present study examined effects of exchange Rate volatility on maritime trade (import) in Iran, which used quartly data from 1380- 1403. The study used the EGARCH model to analyze the USD/RIAL exchange rate volatility and combined with an autoregressive distributed lag (ARDL) analysis indicate that exchange rate volatility has a statistically significant negative influence on Iran’s seaborne import volume. The results of estimating the long-term equilibrium equation through cointegration relationships indicated that a 1% increase in real income led to a 0.014 % increase in import volume, and increases in the real effective exchange led to a 0.018% decrease in import volume. On the other hand, an increase of 1% in world commodity prices, which secured statistical significance, led to a increase of 0.12% in import volume. Moreover, the results of a vector error correction model (VECM) analysis found that the exchange rate volatility exhibited short-term unidirectional causality on import volume and real income.
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