Document Type : Research Paper

Authors

1 Assistant Professor, Department of Economics, Semnan University, Semnan, Iran

2 Associate Professor, Department of Economics, Semnan University, Semnan, Iran

3 Faculty of Economics-Semnan University

Abstract

In many emerging and developing economies, sudden changes and volatilities in the exchange rate can be negatively affect economic growth by decline in investment, trade balance and profitability. Considering the fact that these economies are vulnerable to changes in capital inflows; remittances as one of the most important capital and financial inflows can lead to volatility and uncertainty in the exchange rate of developing countries and cause instability in the economy. Thus In this study, the mutual relationship between real exchange rate volatility and remittances volatility has been investigated and empirically analyzed by the use of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and three stage least square (3SLS) of simultaneous equations system approaches in the selected developing countries including Iran over the period 1980-2015. The results demonstrate that there is a relationship between the real exchange rate and remittances volatilities. In the meanwhile, the exchange rate volatility has a greater and significant effect on the volatility of remittances; while their reverse effect is small. In other words, the remittances volatility does not have a significant effect on the exchange rate volatility, which leads to economic stability. In addition, foreign direct investment, government spendings and trade openness cause volatilities in real exchange rates, and on the other side, inflation, financial development, household expenditure per capita and age dependency are the influential factors of remittances volatility in the studied countries.

Keywords

- جعفری صمیمی، احمد و کوروش اعظمی. (1393). «نقش توانمندسازی اقتصادی در راهبرد اقتصاد مقاومتی در کشورهای درحال توسعه». فصلنامه علوم اقتصادی، سال هشتم، شماره 28. صص 119-107.## - جعفری صمیمی، احمد و کوروش اعظمی. (1391). «نااطمینانی اقتصاد کلان و اندازه دولت شواهد کشورهای منتخب درحال توسعه». راهبرد اقتصادی، سال اول، شماره 3. صص 168-149. ##- جعفری صمیمی، احمد، اعظمی، کوروش و جبار عزیزیان. (1394). «تأثیر نااطمینانی متغیرهای اقتصاد کلان (نرخ ارز،تورم و نرخ رشد) بر واردات کشورهای منتخب در حال توسعه (شامل ایران)». اقتصاد مقداری، سال دوازدهم، شماره 3. صص 49-27. ##- عطرکار روشن، صدیقه و زهرا هاشمی. (1395). «بررسی تأثیر باز‌بودن تجارت بر فقر در ایران با رویکرد سیستم معادلات‌همزمان». فصلنامه نظریه‌های کاربردی اقتصاد، سال سوم، شماره 1. صص 204-183. ##- کازرونی، علیرضا، فشاری، مجید و آرام ایمان­پور نمین. (1389). «اثر باز بودن اقتصاد بر بی ثباتی نرخ واقعی ارز (مطالعه موردی ایران)». پژوهشنامه بازرگانی، سال پانزدهم، شماره 57. صص 85-65. ##- منافی انور، وحید، خدادکاشی، فرهاد، بیابانی، جهانگیر و فاطمه پاسبان. (1394). «عوامل مؤثر بر تغییرات نرخ ارز واقعی و تأثیر آن بر شاخص رقابت‌پذیری در اقتصاد ایران (92-1358)». فصلنامه علوم اقتصادی، سال نهم، شماره 32. صص 23-1. ##- مهرآرا، محسن و رامین مجاب. (1388). «ارتباط میان تورم، نااطمینانی تورم، تولید و نااطمینانی تولید در اقتصاد ایران». فصلنامه پول و اقتصاد، شماره 2. صص 30-1. ##
- Abbas, F., A. Massod, & A. Sakhawat. (2017). What Determine Remittances to Pakistan? The Role of Macroeconomic, Political and Financial Factors. Journal of Policy Modeling, Vol.39(3), pp:519-531. ##- Ajao, M. G., & O.E. Igbekoyi. (2013). The Determinants of Real Exchange Rate Volatility in Nigeria. Academic Journal of Interdisciplinary Studies, Vol.2(1), pp:459-471. ##- Alberola, E., S.G. Cervero,  H. Lopez & A. Ubide. (1999). Global Equilibrium Exchange Rates: Euro, Dollar, ‘Ins,’ ‘Outs’ and Other Major Currencies in a Panel Cointegration Framework. IMF, Working Paper No. 175, International Monetary Fund, Washington, DC. ##- Amuedo-Dorantes, C., & S. Pozo. (2004). Workers’ Remittances and the Real Exchange Rate: A Paradox of Gifts. World Development, Vol.32(8), pp:1407–1417. ##- Barajas, A., R. Chami., D.S. Hakura & P. Montiel. (2010). Workers’ Remittances and The Equilibrium Real Exchange Rate: Theory and Evidence. Working Paper WP/10/287, International Money Fund. ##- Barrett, K. (2013). The Effect of Remittances on The Real Exchange Rate: The Case of Jamaica. Caribbean Centre for Money and Finance, Working Paper. ##- Benita, G. & B. Lauterbach. (2007). Policy factors and Exchange Rate Volatility: Panel Data Versus a Specific Country Analysis. International Research Journal of Finance and Economics, Vol.7, pp:7-23. ##- Cariolle, J. (2012). Measuring Macroeconomic Volatility: Applications to Export Revenue Data, 1970-2005. Foundation Pour Les Etudes Et Recherchés Sur Le Developpment International. Working paper No. 114. ##- Carrera, J.E. & R. Restout. (2008). Long Run Determinants of Real Exchange Rates in Latin America. GATE Working Paper No. 08-11. ##- Combes, J., T.  Kinda & P. Plane. (2011). Capital Flows, Exchange Rate Flexibility and the Real Exchange Rate. Working Paper WP/11/9, International Money Fund. ##- Freund, C. & N. Spatafora. (2005). Remittances: Transaction Costs, Determinants, and Informal Flows. World Bank Policy Research Working Paper, 3704. ##- Hagen-Zaker, J. & M. Siegel. (2007). The Determinants of Remittances: a Review of The Literature. Working Paper MGSoG/2007/WP003, Maastricht University. ##- Hassan, G.M. & M.J. Holmes. (2012). Remittances and the Real Effective Exchange Rate. Department of Economics, University of Waikato. ##- Insah, B. & A. Chiaraah. (2013). Sources of Real Exchange Rate Volatility in the Ghanaian Economy. Journal of Economics and International Finance, Vol.5(6), pp:232-238. ##- Jackman, M. (2013). Macroeconomic Determinants of Remittance Volatility: An empirical test. International Migration, Vol.51(1), pp:36-52. ##- Kamran, A., S. Alam, K.A. Ghias & S.N. Ali. (2014).  Economic Determinants of Workers’ Remittances in Pakistan. Proceedings of the Seventh International Conference on Management Science and Engineering Management. ##- Keefe, H.G. (2014). The Impact of Remittance Inflows on Exchange Rate Volatility: The Importance of Dollarization and development. Department of Economics, Fordham University New York. ##- Khurshid, A., Y. Kedong, A.C. Calin & K. Khan. (2017). The Effects of Workers’ Remittances on Exchange Rate Volatility and Exports Dynamics - New Evidence from Pakistan. Romanian Economic Journal, Vol.20(63), pp:29-52. ##- Kosteletou, N. & P. Liargovas. (2000). Foreign Direct Investment and Real Exchange Rate Interlinkages. Open economies review, Vol.11, pp:135–148. ##- Lopez, H., L. Molina & M. Bussolo. (2007). Remittances and the Real Exchange Rate. World Bank, Bank of Spain, Working Papers No. 4213. ##- Mallick, H. (2017). Determinants of Workers' Remittances: An Empirical Investigation for a Panel of Eleven Developing Asian Economies. The World Economy, Vol.40(12), pp:2875-2900. ##- Nekoei, A. (2013). Immigrants’ Labor Supply and Exchange Rate Volatility. American Economic Journal: Applied Economics, Vol. 5(4), pp:144-164. ##- Roy, R. & R. Dixon. (2016). Workers’ Remittances and the Dutch Disease in South Asian Countries. Applied Economics Letters, Vol.23(6), pp:407-410. ##- Schiopu, L. & N. Siegfried. (2006). Determinants of Workers' Remittances: Evidence from the European Neighboring Region. European Central Bank, Working Paper Series No. 688. ##- Singh, R.J., M. Haaker & K. Lee. (2009). Determinants and Macroeconomic Impact of Remittances in Sub-Saharan Africa. Working Paper WP/09/216, International Money Fund. ##- Tabit, S. & C. Moussir. (2016). Macroeconomic Determinants of Migrants’ Remittances: Evidence from a Panel of Developing Countries. International Journal of Business and Social Research, Vol.6(7), pp:1-11. ##- Vaaler, P. (2011). Immigrant Remittances and the Venture Investment Environment of Developing Countries. Journal of International Business Studies, Vol.42, pp:1121-1149. ##- World Bank Group. (2018). Migration and Development Brief 29. ##- Yang, D. (2011). Migrant Remittances. Journal of Economic Perspective, Vol.25(3), pp:129-152. ##