Title: Exchange rate volatility and imports demand for the Islamic Republic of Iran
Author: Shahdad Naghshpour
Address: University of Southern Mississippi, 730 East Beach Blvd., Long Beach, MS 39560, USA
Abstract: This study provides an analysis of imports demand for Iran. It uses time series methods to determine the imports demand. The idea is to capture and account for volatility of real effective exchange rate. The main models are Autoregressive Distributed Lag model and Generalised Autoregressive Conditional Heteroscedasticity. GARCH models account for volatility by dealing with heteroscedasticity. The quarterly data from 1981 Q1 to 2007 Q4 are first checked for stationarity.
Keywords: import demand; exchange rate volatility; ARCH; GARCH; Iran; international trade; imports; modelling.
Int. J. of Trade and Global Markets, 2014 Vol.7, No.1, pp.1 - 17
Available online: 17 Jan 2014