Master Student of Thesis On Development And Planning Economy, Islamic Azad University, Central Branch of Tehran, Iran
This article investigated the effect of real exchange rate uncertainty on the import of agricultural main goods in Iran over the period of 1991–2012. The aim of this article was to test the following hypothesis: “The uncertainty of real exchange rate has a negative effect on the import of agricultural main goods”. Uncertainty series of the exchange rate are usually estimated using GARCH and ARCH models and the asymmetric effects are also analyzed using these models. Exchange rate uncertainty index resulted from the fluctuations of the real exchange rate is calculated through Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and is regarded as the proxy of real exchange uncertainty rate. According to the uncertainty analysis and measuring the exchange rate uncertainty by EGARCH model, and eventually based on demand function estimation, it was realized that there was a long term relation between importing agricultural main goods and real exchange rate uncertainty. The obtained results proved that real exchange rate uncertainty had a negative effect on the import of agricultural main goods in Iran and the demand for their import is positively affected by the real national income.
EGARCH Model, GARCH Model, ARCH Model, The Real Exchange Rate Uncertainty, The Real National Income
