Predicting and Studying the Effect of Uncertainty in the Real Exchange Rate on the Agricultural Department Imports of Iran

Subject Areas : Agricultural Economics Research

sima shafei ¹ , yadollah bostan ² , Ahmad Fatahiardakani ³ , DORNA jahangirpor ⁴ , Rahman Erfani ⁵

1 - Ph.D. Student of Natural Resources and Environmental Economics, Shiraz University, Shiraz,Iran.
2 - M.Sc. of Agricultural Economics, Ardakan University
3 - Associate Professor of Agricultural Economics, Ardakan University .
4 - Ph.D. Student of Natural Resources and Environmental Economics, Shiraz University, Shiraz,Iran.
5 - Director of Rice Research Institute of Iran, Mazandaran.

Received: 2018-09-07 Accepted : 2020-06-29 Published : 2020-10-22

Keywords: Iran, ANN, Prediction, Exchange Rate, Imports,

Abstract :

The purpose of this study was to investigate the effect of real exchange rate uncertainty on Iran's agricultural imports for the period of 1977-1389 and predict the level of Iranian agricultural imports by 1404 using GARCH, VAR, VECM and ANN methods. For this purpose, a generalized autoregressive conditional heterogeneity variance model was used to index the real exchange rate uncertainty, using autoregressive patterns and vector error correction for estimating co-integration and short-term and long-term coherent relationships and finally for prediction of artificial neural network method. The results showed that there is an indirect relationship between the real exchange rate fluctuations and consumption pattern of the society on agricultural imports and the direct relation between oil revenue variable and the absorption variable on agricultural imports. Then, comparing the efficiency of self-regression models and Vector Error Correction Model and artificial neural network, a neural network designed to predict the import of Iranian agricultural sector for the period 1396 to 1404 was used under a scenario and exogenous predictions were .....

References:

- Abbasian, E., Moradpour auladi, M., & Mehregan, N. (2012). The Effects of Real Exchange Rate Uncertainty on Economic Growth in Iran. Journal of Economic Research (Tahghighat- E- Eghtesadi), 47(1), 153-169. http://doi:10.22059/jte.2012.24677 (In Persian)

- Abrishami, H., Komijani, A., Ahrari, M., & Hosseini Habashi, G. (2012). Using Hybrid Expert System Approach for Forecasting Bankruptcy of Tehran Stock Exchange Corporation Companies. Journal of Economics and Modeling, 3(9), 42-66. (In Persian)

- Asgharpur, H., Mohammadpoor, S., Rezazadeh, A., & Jahangiri, K. (2012). The Effect of Exchange Rate Volatility on Agricultural Export. Agricultural Economics Research, 4(13), 121-137. (In Persian)

- Bagella, M., Becchetti, L., & Hassan, L. (2006). Real Effective Exchange Rate Volatility and Growth: A Framework to Measure Advantages of  Flexibility vs. Costs of Volatility. Journal of Banking & Finance, No. 30: 1149-1169. https://doi.org/10.1016/j.jbankfin.2005.05.012

- Bahmani Oskoee, M., & Goswawi, G.G. (2004). Exchange Rate Sensitivity of Japans Bilaterd Flows. Jornal of Japan and The World Economy, 16: 25-38. https://doi.org/10.1016/S0922-1425(03)00016-1

- Cazorzi, M., Kolasa, M., & Rubaszek, M. (2017). Exchange rate forecasting with DSGE models. Journal of International Economics, 107, 127-146. https://doi.org/10.1016/j.jinteco.2017.03.011

- Central Bank of the Islamic Republic of Iran. 2019. https://www.cbi.ir/simplelist/1589.aspx (In Persian)

- Fatahi, A., & Rezvani, M. (2018). Applied econometric with shazam. Ardakan University Press, First Edition. (In Persian)

- Fehresti sani, M., Fatahi, A., Bostan, Y., & Rezvani, M. (2017). Analysis on stability of trade patterns for the selected countries in Middle East and North Africa (MENA). Agricultural Economics, 11(1), 53-67. http://doi:10.22034/iaes.2017.23473 (In Persian)

- Gala, P., & Lucinda, C. (2006). Exchange Rate Misalignment and Growth: Old and New Econometric Evidence. Journal of Economia, Brasilia, Vol.7, No. 4: 165-187. http://EconPapers.repec.org/RePEc:anp:en2006:93

- Gholizadeh, M., & Darand, M. (2010). Forecasting Monthly Precipitation by Using Artificial Neural Networks A Case Study: Tehran. Physical Geography Research Quarterly, 42(71). (In Persian)

- Gorgini, M., Golestani, S., & Hajabbasi, F. (2012). A Comparison of the Predictive Ability of VAR, ARIMA and Artificial Neural Network (ANN) Models: OPEC’s Oil Demand. Iranian Energy Economics, 1(4), 145-168. (In Persian)

- Hall, S., Hondroyiannis, G., Swamy, P., Tavlas, G., & Ulan, M. (2010). Exchange Rate Volatility and Export Performance: Do Emerging Market Economies Resemble Industrial Countries or other Developing Countries. Journal of Economic Modelling, Article in Press. https://doi.org/10.1016/j.econmod.2010.01.014

- Hosseini, S.S., Pakravan, M.R., & Gilanpour, O. (2012). Forecasting of Agricultural Crops Import in Iran Artificial Neural Network and Econometric Models Application. Agricultural Economics & Development, 25(3). https://doi.org/10.22067/jead2.v1390i3.10845 (In Persian)

- Jalayee, S., & Sattari, O. (2012). The Survey of and Forecasting the Effect of Globalization on Urban Income Distribution in Iran Using Artificial Neural Network. Quarterly Journal of Economic Growth and Development Research, 1(4), 144-117. (In Persian)

- Kazemnejad, M., & Gilanpour, O. (2018). Comparing The Econometric Methods and Artificial Neural Networks in Predict of Corn Import of Iran. Agricultural Economics and Development, 22(85), 213-235. (In Persian)

- Khosravi, M., & Mohseni, R. (2014). The Effect of Exchange Rate Uncertainty on Agricultural Trade Balance (An Application of GARCH, EGARCH and TGARCH Model). Agricultural Economics, 8(2), 69-86. (In Persian)

- Lotfalipour, M.R., Hoshmand, M., Elami, E., & Bostan, Y. (2018). Effects of the Industrial Sector Economic Growth on the Quality of the Environment in Iran (Application of the Self Explanatory Model with Extensive Pauses). Environmental Researches, 8(16), 103-114. (In Persian)

- Marzban, H., Akbarian, R., & Javaheri, B. (2005). A comparison between structural econometric models, time series, and neural network to predict exchange rates. Journal of Economic Research (Tahghighat- E- Eghtesadi), 40(2). (In Persian)

- Mehrabi Boshrabadi, H., & Javdan, E. (2011). Article title: Impact of Real Exchange Rate Uncertainty on Agricultural Sector Growth in Iran. Agricultural Economics Research, 3(9), 27-46. (In Persian)

- Monjezi, M., Ghobadi, S., & Afghah, S. (2011). The Study of Short Run and Long Run Effects of Trade Liberalization on Iran’s Wheat Import. Agricultural Economics & Development, 24(4). https://doi.org/10.22067/jead2.v1389i4.8202 (In Persian)

- Mortazavi, S., Zamani, O., Noori, M., & Nader, H. (2012). Investigation of Effect of Exchange Rate Volatility on IRAN’s Pistachio Export. Agricultural Economics & Development, 25(3). https://doi.org/10.22067/jead2.v1390i3. 10843 (In Persian)

- Najafi, P., Fehresti sani, M., Bostan, Y., & Fatahi ardakani, A. (2020). Estimation of Iran Sugar Import Demand Function (ARDL Approach). Journal of Sugar Beet, 35(2), http://doi:10.22092/jsb.2020.127496.1226 (In Persian)

- Pahlavani, M., Dahmardef, N., & Hossini, M. (2007). Estimation of export and import demand functions in Iran's economy using ARDL convergence method. Quarterly Journal of Economics Quarterly (Quarterly Journal of Economic Studies), 4(3), 101-120. (In Persian)

- Rasekh, S., Shahrazi, M., & Abdollahi, M. (2012). Asymmetric Effect of Exchange Rate and its Volatility on Iran’s Non Oil Export. Quarterly Journal of Economic Growth and Development Research, 2(7), 90-81. (In Persian)

- Schnabl, G. (2008). Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery. Journal of Economic Systems. 32: 70–91. https://doi.org/10.1016/j.ecosys.2007.06.006

- Shayegan, M. A., Mohammadi, H., & Moosavi, S. N. (2008). Forecasting Rice and Corn Imports Using the Method of Artificial Neural Network. Journal of Economic Research and Policies, 15(44), 83-100. (In Persian)

- Sohrabi, R. (2016). Comparison of econometric models and artificial neural networks to predict of Iran Oilcake imports. Iranian Journal of Agricultural Economics and Development Research, 47(3), 633-646. http://doi:10.22059/ijaedr.2016.60235 (In Persian)

- Souri, A. (2012). Econometrics with the use of Eviews software. Farhang Shenasi Publications, Tehran. (In Persian)

- Taghizadeh, R., Fattahi, A., Tahari, M., & Babaei, H. (2015). Evaluating hybrid model of artificial neural networks and genetic algorithms for forecasting consumption of energy in Iran agricultural sector. Agricultural Economics Research, 7(27), 149-166. (In Persian)

- Tavakoli, A., & Sayah, M. (2010). The effect of exchange rate fluctuations on the country's economic activities. Quarterly Journal of Money and Economics, 4, 59-77. (In Persian)

- Thorbecke, W. (2011). Investigating the effect of exchange rate changes on China’s processed exports. Journal of the Japanese and International Economies, 25(2), 33-46. https://doi.org/10.1016/j.jjie.2010.12.001

- Tkacz, G. (2001). Neural Network Forecasting Of Canadian GDP Growth. International Journal of Forecasting, 17, pp. 57-69. https://doi.org/10.1016/S0169-2070(00)00063-7

- Watson, P.M., & Gupta, K.C. (1996). EM-ANN models for microstrip vias and interconnects in dataset circuits. IEEE Transactions on Microwave Theory and Techniques, 44(12), 2495-2503.

- Yang, L., Cai, X. J., & Hamori, S. (2017). Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis. International Review of Economics & Finance, 49, 536-547. https://doi.org/10.1016/j.iref.2017.03.015

- Zamanian, G., & Behrad amin, M. (2015). Effect of exchange rate uncertainty on the import demand of Iran Application of ARDL and EGARCH Methods. Journal of Applied Economics Studies in Iran, 3(12), 129-148. (In Persian)