Real effective exchange rate misalignment and currency crisis in Iran
Tóm tắt
This study aimed to examine real effective exchange rate (REER) misalignment in Iran and its relation to the currency crisis. The behavioral equilibrium exchange rate was employed to calculate the equilibrium exchange rate (EER), and misalignment was obtained using the exchange rate deviation from the equilibrium value. Using the autoregressive distributed lag (ARDL) method and data from 1986 to 2019, the long-run relationship between macroeconomic fundamentals and REER was estimated. The results show that trade openness, rate of productivity growth in tradable good production, net foreign assets of the central bank, oil exports, and terms of trade significantly affected the EER. Estimation of misalignment and its relationship with the currency crisis show that in the years before the crisis, there was generally a significant overvaluation in several consecutive years; hence, exchange rate misalignment serves as a leading index to predict the probability of a currency crisis.
Tài liệu tham khảo
Ajevskis V, Rimgailaite R, Rutkaste U, Tkačevs O (2014) The equilibrium real exchange rate: pros and cons of different approaches with application to Latvia. Baltic J Econ 14(1–2):101–123. https://doi.org/10.1080/1406099X.2014.993853
Akram V, Rath BN (2017) Exchange rate misalignment and economic growth in India. J Financ Econ Policy 9(4):414–434. https://doi.org/10.1108/JFEP-12-2016-0093
Ari A (2012) Early warning systems for currency crises: The Turkish case. Econ Syst 36(3):391–410. https://doi.org/10.1016/j.ecosys.2012.07.001
Baak SJ (2012) Measuring misalignments in the Korean exchange rate. Jpn World Econ 24(4):227–234. https://doi.org/10.1016/j.japwor.2012.09.001
Banerjee K, Goyal A (2021) Behavioural equilibrium real exchange rates and misalignments: evidence from large emerging markets. Econ Anal Policy 70:414–436. https://doi.org/10.1016/J.EAP.2021.03.004
Bayoumi T, Lee J, Jayanthi S (2006) New rates from new weights. In IMF staff papers (IMF working papers, vol 53, no 2). International Monetary Fund. https://doi.org/10.5089/9781451861181.001
Beck T, Claessens S, Schmukler SL (2013) Financial globalization and crises: overview. Evid Impact Financ Global. https://doi.org/10.1016/B978-0-12-397874-5.00001-4
Burkart O, Coudert V (2002) Leading indicators of currency crises for emerging countries. Emerg Mark Rev 3(2):107–133. https://doi.org/10.1016/S1566-0141(02)00002-X
Clark PB, MacDonald R (1999) Exchange rates and economic fundamentals: amethodological comparison of beers and feers. In: Equilibrium exchange rates, Springer, Cham, pp 285–322. https://doi.org/10.1007/978-94-011-4411-7_10
Comunale M (2017) Dutch disease, real effective exchange rate misalignments and their effect on GDP growth in EU. J Int Money Financ 73:350–370
Couharde C, Delatte A-L, Grekou C, Mignon V, Morvillier F (2018) EQCHANGE: a world database on actual and equilibrium effective exchange rates. Int Econ 156:206–230
Cuestas JC, Mourelle E, Regis PJ (2020) Real exchange rate misalignments in CEECs: Have they hindered growth? Empirica 47(4):733–756. https://doi.org/10.1007/s10663-019-09454-5
Dağdeviren S, Binatli AO, Sohrabji N (2012) Misalignment under different exchange rate regimes: the case of Turkey. Int Econ 130:81–98. https://doi.org/10.1016/S2110-7017(13)60045-1
Giannellis N, Papadopoulos AP (2007) Estimating the equilibrium effective exchange rate for potential EMU members. Open Econ Rev 18(3):307–326. https://doi.org/10.1007/s11079-007-9040-x
Glick R, Hutchison M (2011) Currency crises (No. 2011–22)
Heriqbaldi U, Widodo W, Ekowati D (2020) Real exchange rate misalignment and currency crises. Bull Indones Econ Stud 56(3):345–362
Holtemöller O, Mallick S (2013) Exchange rate regime, real misalignment and currency crises. Econ Model 34:5–14
Hossfeld O, Hossfeld, Oliver (2010) Equilibrium real effective exchange rates and real exchange rate misalignments: time series vs. panel estimates. https://econpapers.repec.org/RePEc:wsr:wpaper:y:2010:i:065
Jbili A, Kramarenko V, Bailen J (2007) Islamic Republic of Iran: managing the transition to a market economy. https://www.imf.org/en/Publications/IMF-Special-Issues/Issues/2016/12/31/Islamic-Republic-of-Iran-Managing-the-Transition-to-a-Market-Economy-18112
Jongwanich J (2008) Real exchange rate overvaluation and currency crisis: evidence from Thailand. Appl Econ 40(3):373–382. https://doi.org/10.1080/00036840600570961
Jovanovic B (2007) Calculating the fundamental equilibrium exchange rate of the macedonian denar. Working paper. https://ideas.repec.org/p/pra/mprapa/43161.html
Kaminsky G, Lizondo S, Reinhart CM (1998) Leading indicators of currency crises. IMF Staff Pap 45(1):1–48. https://doi.org/10.2307/3867328
Kemme DM, Roy S (2006) Real exchange rate misalignment: prelude to crisis? Econ Syst 30(3):207–230
Kim BY, Korhonen I (2005) Equilibrium exchange rates in transition countries: evidence from dynamic heterogeneous panel models. Econ Syst 29(2):144–162
Kusumawardani D, Mubin MK (2019) The exchange rate misalignment, volatility and the export performance: evidence from Indonesia. Iran Econ Rev 23(3):561–591
Libman E (2018) The effects of exchange rate regimes on real exchange rate misalignment. Int Rev Appl Econ 32(1):39–61
MacDonald R, Dias P (2007) Behavioural equilibrium exchange rate estimates and implied exchange rate adjustments for ten countries. In: Working papers (No. 12). Business School—Economics, University of Glasgow. https://ideas.repec.org/p/gla/glaewp/2007_12.html
Masunda S (2012) Real exchange rate misalignment and currency crisis in Zimbabwe. Scholarlink Research Institute Journals. http://ir.msu.ac.zw:8080/xmlui/handle/11408/1622
Mozayani AH, Parvizi S (2016) Exchange rate misalignment in oil exporting countries (OPEC): focusing on Iran. Iran Econ Rev 20(2):261–276
Musyoki D, Pokhariyal GP, Pundo M (1993) Real exchange rate equilibrium and misalignment in Kenya
Nouira R, Plane P, Sekkat K (2011) Exchange rate undervaluation and manufactured exports: a deliberate strategy? J Comp Econ 39(4):584–601
Nouira R, Sekkat K (2015) What determines the extent of real exchange rate misalignment in developing countries? Int Econ 141:135–151. https://doi.org/10.1016/j.inteco.2015.02.001
Pesaran MH, Shin Y (1995) An autoregressive distributed lag modelling approach to cointegration analysis
Razin O, Collins SM (2017) Real exchange rate misalignments and productivity growth. https://papers.ssrn.com/abstract=225932
Sundarajan V, Michel L, Williams S (1999) Exchange rate unification, the equilibrium real exchange rate, and choice of exchange rate regime: the case of the Islamic Republic of Iran. IMF Work Pap 99(15):1
Terra C, Valladares F (2010) Real exchange rate misalignments. Int Rev Econ Financ 19(1):119–144
Toulaboe D (2017) Real exchange rate misalignment of Asian currencies. Asian-Pac Econ Lit. 31(1):39–52
Zardad A, Mohsin A, Zaman K (2013) Estimating long-run equilibrium real exchange rates: short-lived shocks with long-lived impacts on Pakistan. Springerplus 2(1):292. https://doi.org/10.1186/2193-1801-2-292