بررسي رفتار كوتاه مدت و بلندمدت نرخ حقيقي ارز در اقتصاد ايران (با استفاده از روش همگرايي خود توضيح با وقفه هاي توزيعي )

Behaviour of Real Exchange Rate in Short-term and Long-term in the Economy of Iran (by using Autoregressive Distributed Lag Co-integration Method)

The main objective of this paper is surveying the stability of real exchange rate (RER) in the Iranian economy and identifying the factors that can influence it in the short and long term. The results of the study approve that the absolute purchasing power parity in the long term cannot be supported. The real oil price, growth of productivity , capital accumulation rate, trade and exchange control severity, fiscal policy, monetary policy, and devaluation of the official exchange rate are the defining factors of the RER in Iran. Comparison error correction model parameters of the RER in the parallel market with that of weighted RER indicate the RER in the parallel market will react more propitiously towards developments of macro economic variables, real shocks and monetary shocks than the weighted RER. Therefore, it is closer to the long term equilibrium real exchange rate . According to the results of this study, the short term effect of monetary shocks on the RER in the parallel market is less than the real shocks. This phenomenon cod be justified according to rational expectations models in inflationary status and high monetary socks variance. On the other hand, implications of monetary shocks are not neutral in the long term. Appreciation the parallel RER in the long run, in response to the expansionary monetary policy, is compatible to the countryʹs exchange rate and monetary regime characteristics. This asserts that the long term nominal exchange rate in the parallel market would not be adjusted along with fluctuations of relative prices. This phenomenon indicates two points: Firstly, because of continues monetary shocks in the Iranian economy. implications of these shocks on the real exchange rate have become permanent. Secondly, appreciation the real exchange rate against expansionary monetary policies, demonstrates fluctuating and imperfect floating nature of nominal exchange rate due to the Central Bank interventions in the exchange market.