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The Determinants of Real Exchange Rate Volatility with Emphasis on Remittances: Selected Developing Countries

محل انتشار: مطالعات بین المللی اقتصاد، دوره: 50، شماره: 2
سال انتشار: 1399
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 143

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استخراج به نرم افزارهای پژوهشی:

لینک ثابت به این مقاله:
https://civilica.com/doc/1182339

شناسه ملی سند علمی:

JR_IESUI-50-2_006

تاریخ نمایه سازی: 31 فروردین 1400

چکیده مقاله:

Remittances are one of the financial inflows that can affect the economic growth of emerging and developing countries through the exchange rate volatility channel. Many small open economies are vulnerable to volatilities and changes in capital inflows so that sudden changes in the exchange rate can affect economic growth negatively by declining investment, trade volume, and profitability. In this study, the effect of the factors that have an impact on the real exchange rate volatility has been investigated and empirically analyzed by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Panel Vector Autoregressive (P-VAR) approaches in the selected developing countries including Iran over the period 1980-2017. The results indicated that remittances had a positive and significant effect on the exchange rate volatility of the studied countries so that an increase in remittances caused volatilities in the real exchange rate. In addition, among other explanatory variables, foreign direct investment and government expenditures had the most negative and positive effects on real exchange rate volatilities respectively. JEL Classification: F24, F31, C58, C32, C33

کلیدواژه ها:

Remittances ، Real Exchange Rate Volatility ، GARCH ، P-VAR

نویسندگان

Rahman Saadat

Department of Economics, Management and Administrative Sciences, University of Semnan, Semnan, Iran

Payam Naderi

Department of Economics, University of Semnan, Semnan, Iran

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