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:: Volume 3, Issue 9 (12-2012) ::
2012, 3(9): 71-93 Back to browse issues page
Investigating The Relationship Between Real Exchange Rate Uncertainty and Stock Price Index In Tehran Stock Exchange Using VAR-GARCH Models
Hassan Heidari , Sahar Bashiri
Abstract:   (11134 Views)

  This paper investigates the relationship between real exchange rate uncertainty and stock price index in Tehran stock exchange for the period of 1995-2009 by using monthly data and applying Bivariate Generalized Autoregressive Conditional Heteroskedasticity model (Bivariate GARCH). The results show that there is a negative and significant relationship between real exchange rate uncertainty and stock price index. However, the relationship between stock price uncertainty and real exchange rate is insignificant. Therefore, our results recommend that the policies which cause more volatility in the exchange market and also more volatility in the real exchange rate should be avoided to ensure the sustainable growth of the stock market and its price index.

  

Keywords: Real exchange rate uncertainty, Stock price index, BGARCH model, Iran.
     
Type of Study: Applicable | Subject: سایر
Received: 2011/07/3 | Accepted: 2013/02/24 | Published: 2013/02/24
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Heidari H, Bashiri S. Investigating The Relationship Between Real Exchange Rate Uncertainty and Stock Price Index In Tehran Stock Exchange Using VAR-GARCH Models. Journal title 2012; 3 (9) :71-93
URL: http://jfm.khu.ac.ir/article-1-238-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 3, Issue 9 (12-2012) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
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