Investigation of Effect of Exchange Rate Volatility on IRAN’s Pistachio Export

Document Type : Research Article

Authors

• S.A. Mortazavi ¹
• O. Zamani ¹
• M. Noori ²
• H. Nader ³

¹ Agricultural Economics, Trabiat-Modares University

² Economic, Tehran University

³ Agricultural Economics, Zabol University

10.22067/jead2.v1390i3.10843

Abstract

Abstract
Exchange rate volatility is one of the effective and AMBIGUOUS factors in agricultural products export. Regarding the importance of agricultural trade, to avoid single-product economy, the main aim of this study is to investigate the impact of exchange rate volatility on the pistachio export of Iran during 1338-1386. For this purpose, exchange rate volatility index was estimated using Generalized Auto-Regressive Conditional Heteroskedactisity (GARCH), firstly. Then, the impact of exchange rate volatility on the value of pistachio export was examined through Johansen's and Juselius's cointegration method and Vector Error Correction Model (VECM). Results indicate that exchange rate volatility has a negative impact on the value of pistachio export. Also, investigation of other model’s variables showed that weighted average income of pistachio importer countries, exchange rate and domestic producer price of pistachio have negative effect on export value of pistachio.

JEL: F31, Q17

Keywords: Pistachio, Generalized Auto-Regressive Conditional Heteroskedactisity (GARCH), Vector Error Correction Model (VECM), Exchange Rate Volatility, Johansen Co-integration

20.1001.1.20084722.1390.25.3.9.3

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