Quarterly Journal of Quantitative Economics

Current Issue

By Issue

By Author

By Subject

Author Index

Keyword Index

About Journal

Aims and Scope

Editorial Board

Publication Ethics

Indexing and Abstracting

Related Links

FAQ

Peer Review Process

Structural Model of Real Exchange Rate with Emphasis on the Terms of Trade Effect: (Separation Non-Oil and Oil Producing Countries)

Document Type : Research Paper

Authors

1 PhD Economics Student of Ferdowsi University

2 Professor of Economic Department of Ferdowsi University

Abstract

Despite the weakness of structural models in determination exchange rate movements, observations show it responds to some fundamental variables. Due to growing foreign sector in most economies, recent studies pay special attention to terms of trade (TOT) effect on exchange rate. This study deals structural model of real exchange rate (RER) between the 70 currencies during the period of 1980-2013 in panel data model. Empirical micro-founded model are based on general equilibrium method. Static and dynamic models have confirmed TOT impact on RER, one percent increases in TOT increase RER by 0.167 percent. Engle-Granger and Sims tests show causality is from TOT to RER. Other variables such as trade balance, real interest rate and technological progress influenced RER. Estimation of Oil and non-oil countries models suggest that exchange rate, against non-oil countries, has a significant impact on RER in oil producing countries. So controlling the supply foreign exchange reserves in oil producing countries, despite lacking the same resources in the non-oil countries, makes it reasonable.

Keywords

References
تقوی، مهدی و کهرام آزادمهر و پروانه سلاطین. (1386). بررسی سهم تغییرات رابطه مبادله بر بی­ثباتی نرخ ارز در اقتصاد ایران. پژوهشنامه اقتصادی، 4(27):50-15.## تمیزی، علیرضا. (1393). بررسی میزان انتقال نرخ ارز بر شاخص قیمت کالاهای صادراتی در ایران با لحاظ نمودن اثرات نرخ تورم و درجه باز بودن تجاری. فصلنامه اقتصاد مقداری، 3(11):79-61. ##خوش­بخت، آمنه و محمد اخباری. (١٣٨٦). بررسی فرآیند اثر گذاری تغییرات نرخ ارز بر تورم شاخص‌های قیمت مصرف‌کننده و واردات در ایران.  فصلنامه پژوهش‌های اقتصادی ایران، 4(27):82-51. ##دبرتین، دیوید. (1376). اقتصاد تولید کشاورزی. ترجمه موس نژاد و نجارزاده. موسسه تحقیقات اقتصادی دانشگاه تربیت مدرس. تهران. ##راسخی، سعید، مجتبی منتظری و پگاه پاشازانوس. (1393). واکنش غیرخطی نامتقارن تراز تجاری به تغییرات نرخ واقعی ارز: مطالعه موردی ایران. فصلنامه سیاست­های مالی و اقتصادی، 2(8): 62-41. ##فرح بخش، ندا. (1392). رابطه نرخ ارز با بخش تجارت خارجی ایران. اولین همایش الکترونیکی ملی چشم انداز اقتصاد ایران، 1(2): 57-42. ##مزینی، امیر حسین و کاظم یاوری. (١٣٨٣). اثر تغییرات نرخ ارز بر بخش تجاری کشور. فصلنامه پژوهش‌های اقتصادی ایران، 14(3): 107-89. ##نجارزاده، رضا، لطفعلی عاقلی کهنه شهری و وحید شقاقی شهری. (1388). تأثیر رابطه مبادله و نرخ ارز واقعی بر کسری بخش تجارت خارجی اقتصاد ایران. فصلنامه پژوهش‌های اقتصادی ایران، 9(2): 102-73. ##
Alessandria, G. & H. Choi. (2015). The Dynamics of the Trade Balance and the Real Exchange Rate: The J Curve and Trade Cost. Journal of economic dynamics, 15(2): 35-59. ##Amano, R. & S.V. Norden. (1995). Terms of Trade and Real Exchange Rates: the Canadian Evidence. Journal of International Money and Finance, 14(1): 83-104. ##Arellano, M. & S. Bond. (1998). Dynamic Panel Data Estimation Using DPD98 for Gauss: A Guide for Users. (Madrid: CEMFI). ##Balassa, B. (1964). The Purchasing-Power Parity Doctrine: A Reappraisal. The Journal of Political Economy, 72(6): 584-596. ##Bergvall, A. (2004). What Determines Real Exchange Rates? The Nordic Countries. Candinavian Journal of Economics, 106(2): 315–337. ##Broda, C. (2002). Terms of  Trade and Exchange Rate Regimes in Developing Countries. Federal Reserve Bank of New York. Staff Paper, No. 148. ##Cashin, P., L. Cespedes & R. Sahay. (2004). Commodity Currencies and the Real Exchange Rate. Journal of Development Economics, 75(1): 239-268. ##Coudert, V. & C. Couharde. (2008). Currency Misalignments and Exchange Rate Regimes in Emerging and Developing Countries. Review of International Economics.  Forthcoming, CEPII Working Paper 2008-07. ##De Gregorio, J. & H. Wolf. (1994).Terms of Trade, Productivity and the Real Exchange Rate. NBER Working Paper 4807, National Bureau of Economic Research, Cambridge, MA. ##Di Nino, V., B. Eichengreen & M. Sbracia. (2011). Real Exchange Rates, Trade, and Growth: Italy 1861-2011. Banca díItalia, Economic History Working Papers No. 10. ##Dwyer, J. (1987). Real Effective Exchange Rates as Indicators of Competitiveness. Paper presented at the 16th Conference of Economists, Surfers Paradise: 23–27. ##Dwyer, J. (1991). Issues in the Measurement of Australia’s Competitiveness. In K.W. Clements, R.G. Gregory & T. Takayama (eds.), International Economics Postgraduate Research Conference Volume, supplement to the Economic Record: 53-59. ##Edwards, S. (1988). Temporary terms of Trade Disturbances, the Real Exchange Rate and the current account. Economica, 56(223): 343-57. ##Engle, R. & C.W.J. Granger. (1987). Cointegration and Error Correction: Representation, Estimation and Testing. Journal of Econometrica, 55(1): 251-276. ##Frenkel, J. (1976). A monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence. Scandinavian Journal of Economics, 78(2): 200–224. ##Habib M., E. Mileva & L. Stracca. (2016). The Real Exchange Rate and Economic Growth: Revisiting The Case Using External Instruments. ECB Working Paper 1921. ##Hall S. & Q. Guo. (2012). Spatial Panel Data Analysis with Feasible GLS techniques: An Application to the Chinese Real Exchange Rate. Journal of Economic Modeling, 29(1): 41-47. ##Im, K.S., M.H. Pesaran & Y. Shin. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115(1): 53-74. ##Karfakis, C. & A. Phipps. (1999). Modeling the Australian Dollar–US Dollar Exchange Rate Using Cointegration Techniques. Review of International Economics, 7(2): 265–279. ##Leigh, D. & M. Rossi. (2002). Exchange Rate Pass-Through in Turkey. IMF Working Papers, wp/02/204. ##Luo, R. & N. Visaltanachoti. (2010). Real Exchange Rate, Asset Prices and Terms of Trade: A theoretical Analysis. Economic Modeling, 27(1): 143-151. ##MacDonald, R. & L. Ricci. (2003). Estimation of the Equilibrium Real Exchange Rate for South Africa. IMF Working Paper wp/03/44. ##MacDonald, R. & L. Ricci. (2007). Real Exchange Rate, Imperfect Substitutability and Imperfect Competition. Journal of Macroeconomics, 29(4): 639-664. ##Mc Carthy, J. (1999). Pass-Through Of Exchange Rate and Import Prices to Domestic Inflation in Some Industrial Economics. BIS Working Paper, No. 111. ##Mussa, M. (1976). The Exchange Rate, the Balance of Payments, and Monetary and Fiscal Policy Under A Regime of Controlled Floating. Scandinavian Journal of Economics, 78(2): 229–248. ##Pesaran, M.H. (2007). A Simple Panel Unit Root Test in The Presence of Cross-Section Dependence. Journal of Applied Econometrics, 22(2): 265–312. ##Sims, C. (1972). Money, Income and Causality. American Economic Review, 62(4): 540-552. ##Toda, H.Y. & P.C.B. Phillips. (1994). Vector Autoregressions and Causality: A Theoretical Overview and Simulation Study. Econometric Reviews, 13(2): 259-285. ##Tsen, W.H. (2011). The Real Exchange Rate Determination: An Empirical Investigation. International Review of Economics and Finance, 20(4): 800–811. ##Wooldridge, J. (2001). Econometric Analysis of Cross-Section and Panel Data. Cambridge, MA: MIT Press. ##
Quarterly Journal of Quantitative Economics
Volume 13, Issue 2 - Serial Number 49
Vol. 13, No. 2, Summer 2016
August 2016
Pages 93-119
Files
History
  • Receive Date: 19 January 2016
  • Revise Date: 03 September 2016
  • Accept Date: 17 October 2016
Share
How to cite
Statistics