Document Type : Research Paper

Authors

Department of Economics, Shiraz University, Shiraz, Iran.

10.22099/ijes.2023.45054.1873

Abstract

Exchange rate misalignment has involved many world countries. It has profoundly affected the internal and external sectors of the economy. Hence, disclosing the emergence and formation causes of the misalignments is a requisite. Studies on the Iranian economy have mostly evaluated the sanctions’ efficacy on macroeconomic variables, involving the economic growth, domestic production, liquidity, exports, imports, oil price, oil revenues, etc. Few studies have evaluated the sanctions’ impact on the foreign exchange market. There is no research work assessing the sanctions’ impact on exchange rate misalignment in Iran. The main purpose of this paper is to estimate the impact of economic sanctions on real effective exchange rate (REER) misalignment in the context of the Iranian economy during the period 1996:1 - 2019:4. In doing so, at first we apply the model designed by Edwards (1989) and Cottani et al. (1990) and using smooth transition regression (STR) to estimate the REER equilibrium and its misalignment. Moreover, factor analysis is used to estimate the sanction indices. Then to analyze the impact of economic sanctions on the REER misalignment a nonlinear autoregressive distributed lag (NARDL) model is employed.

The time path of estimated REER misalignment indicates a lot of volatilities during the period of study. The estimated results also show that sanctions significantly affect these volatilities in the short run and long run and thereby increase REER disequilibrium in the Iranian economy.

Keywords

Main Subjects

Article Title [Persian]

تاثیر تحریم های اقتصادی بر ناترازی نرخ ارز حقیقی در ایران

Authors [Persian]

  • مهدی همتی
  • ابراهیم هادیان
  • علی حسین صمدی
  • احمد صدرایی جواهری

بخش اقتصاد، دانشگاه شیراز، شیراز، ایران.

Abstract [Persian]

انحراف نرخ ارز بسیاری از کشورهای جهان را درگیر کرده‌است.بخش داخلی و خارجی اقتصاد را عمیقاً تحت‌تاثیر قرار داده‌است.از این رو شناسایی علل پیدایش و شکل‌گیری ناترازی نرخ ارز امری ضروری است.مطالعات انجام‌شده بر روی اقتصاد ایران عمدتاً تاثیر تحریم‌ها را بر متغیرهای کلان اقتصادی شامل رشد اقتصادی, تولید داخلی, نقدینگی, صادرات, واردات, قیمت نفت, درآمده‌ای نفتی و غیره مورد ارزیابی قرار داده‌است.هیچ کار پژوهشی در زمینه ارزیابی تاثیر تحریم‌ها بر انحراف نرخ ارز در ایران وجود ندارد.هدف اصلی این مقاله برآورد تاثیر تحریم‌های اقتصادی بر انحراف نرخ ارز موثر حقیقی (REER) در چارچوب اقتصاد ایران در دوره زمانی 2019:4-1996:1 است.در این راستا ابتدا مدل طراحی‌شده توسط ادواردز (1989) و Cottani و همکاران (1990) و با استفاده از رگرسیون انتقال ملایم لجستیک برای برآورد نرخ ارز موثر حقیقی تعادلی و انحراف آن, بکار گرفته شده‌است. همچنین از تحلیل عاملی برای برآورد شاخص‌های تحریم اقتصادی استفاده شده‌است.سپس برای تجزیه و تحلیل تاثیر تحریم‌های اقتصادی برناترازی نرخ ارز موثر حقیقی از یک الگوی خود رگرسیونی با وقفه‌های توزیع‌شده غیرخطی (NARDL) استفاده شده‌است.مسیر زمانی ناترازی برآورد شده نشان‌دهنده نوسانات زیادی در طول دوره مورد مطالعه است.همچنین نتایج برآورد شده نشان می‌دهد که تحریم‌ها بر این ناترازی در کوتاه‌مدت و بلندمدت تاثیر معناداری دارد و در نتیجه عدم تعادل اقتصادی ایران را افزایش می‌دهد.

Keywords [Persian]

  • ناترازی نرخ ارز حقیقی
  • تحریم های اقتصادی
  • اقتصاد ایران
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