The Effect of Real Exchange Rate Volatility on Strategic Investment in Iran


Department of Economics Shahid Bahonar University, Kerman


This study examines the impacts of real exchange rate fluctuations on the companies' strategic investments in Iran. The data of 92 listed companies in Tehran Stock Exchange during the period of 2002-2015areused. First, the volatility of exchange rate is estimated by the Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The model is estimated by GMM and system GMM methods. The results show that the relationship between exchange rate volatility and companies' strategic investments has an inverse U-shaped. The estimation result of GMM method shows that the inflection points for volatility of exchange rate and its lag are 0.08% and 0.13% respectively. When we estimate the model with system GMM the inflection point for exchange rate volatility and its lag are 0.05% and 0.11%, respectively. Moreover, we find out that the first lag of investment and cash flow variables have had positive and significant effects on strategic investment.


Article Title [Persian]

تأثیر نوسانات نرخ ارز واقعی بر سرمایه‌گذاری استراتژیک در ایرانCGE

Authors [Persian]

  • حمیدرضا حری
  • الهام رحیمی
رشته اقتصاد، دانشکده اقتصاد و مدیریت دانشگاه شهید باهنر کرمان
Abstract [Persian]

این مطالعه تأثیر نوسانات نرخ ارز واقعی بر سرمایه‌گذاری استراتژیک شرکت‌ها در ایران را بررسی می‌کند. بدین منظور داده‌های 92 شرکت پذیرفته شده در بورس اوراق بهادار تهران طی دوره زمانی 1380-1393 استفاده شده است. در این مقاله، نوسانات نرخ ارز از طریق مدل خودرگرسیونی تعمیم‌یافته (GARCH) برآورد و سپس روابط متقابل متغیرهای مدل با استفاده از دو روش GMM و GMM سیستمی بررسی شده است. مدل نظری با استفاده از تئوری Q توبین تجزیه و تحلیل شده است. نتایج حاصل نشان‌دهنده رابطه U شکل معکوس بین نوسانات نرخ ارز و سرمایه­گذاری استراتژیک شرکت­ها است. نقطه آستانه در روش GMM برای متغیر نوسانات نرخ ارز 0.08 درصد و برای وقفه نوسانات نرخ ارز 0.13 درصد و در روش GMM سیستمی به ترتیب 0.05 درصد و 0.11 درصد محاسبه گردیده است. همچنین نتایج نشان می‌دهد که وقفه سرمایه­گذاری و جریان نقدی اثر مثبت و معنی­دار بر سرمایه­گذاری دارند.

Keywords [Persian]

  • سرمایه‌گذاری استراتژیک
  • Q توبین
  • نوسانات نرخ ارز واقعی
  • GMM سیستمی
  • ایران

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