The Effect of Exchange Rate Volatility on Agricultural Export

Subject Areas : Agricultural Economics Research

H. Asgharpur ^{1 *} , S. Mohammadpoor ² , A. Rezazadeh ³ , Kh. Jahangiri ⁴

1 - استادیار گروه اقتصاد دانشگاه تبریز
2 - دانشگاه آزاد اسلامی واحد علوم و تحقیقات
3 - دانشگاه آزاد اسلامی واحد علوم و تحقیقات
4 - دانشگاه آزاد اسلامی واحد علوم و تحقیقات

Received: 2015-12-17 Accepted : 2015-12-17 Published : 2012-03-20

Keywords: Exchange Rate Volatility, FMOLS, Agricultural Export, Saikkonen and Lutkepohl Co-integration Approach,

Abstract :

The main objective of this paper is to investigate the effect of real exchange rate volatility on export of agricultural sector in Iran over the period 1974-2007. For this purpose, first, the exchange rate volatility index has been estimated using EGARCH(0,1) and then, in an econometrics models, the effect of exchange rate volatility index on export of agricultural sector has been tested.The results of Saikkonen and Lutkepohl co-integration test show that there is at least one co-integration vector between variables of the model. The results of co-integration vector estimation using the FMOLS approach indicate that exchange rate volatility has a significant negative effect on export of agricultural sector. Also, the empirical results show that, in the long- run, the world GDP and Iran’s GDP variables have a significant positive and the export price index has a negative effect on agricultural export. According to this empirical result, to increase the agricultural export in the Iranian economy, the policy makers must be decrease the exchange rate volatility.  

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