Spillover Effects of Trade and Exchange Rates Shocks from Iran`s Major Trading Partners: GVAR approach

Subject Areas : Labor and Demographic Economics

Aziz Saki ¹ , Seyed Aziz Arman ² , hasan farazmand ³

1 - PhD student in International Economics, Shahid Chamran University of Ahvaz, Iran
2 - Professor of economics, faculty of Economics and social science, Shahid Chamran University of Ahvaz, Iran
3 - Associate Professor of Economics, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Iran

Received: 2021-09-18 Accepted : 2021-12-10 Published : 2021-12-21

Keywords: F14, JEL Classification: C32, F31 Keywords: Spillover Effects, Trade, Exchange Rates, Major Trading Partners, GVAR Model,

Abstract :

This article deals with how trade and exchange rates shocks of major trading partners affect the Iranian economy. For this purpose, quarterly data of 10 major Iranian trading countries, including Brazil, China, Germany, India, Italy, Korea, Turkey, Russia, UAE and Switzerland during the period 1996 to 2019 has been used. Econometric parameters has been estimated by Global Vector Autoregressive approach.The modeling results show that the increase in the real exchange rate in Brazil, in some cases, increases the real exchange rate in Iran. Rising real exchange rate in China first reduces and then increases the real exchange rate in Iran. In addition, Increasing China's trade increases the level of Iran's trade. According to the results, when Iran's imports from a country are higher, it is more affected by exchange rate shocks in that country, which can be seen in response to real exchange rate shocks in China.

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