Inrnaional Economic Sudis Vol. 44, No. 1, Spring & Summr 2014 pp. 67-74 Rcivd: 15-10-2013 Accpd: 12-05-2014 Monary Policy and Exchang Ra Ovrshooing in Iran Hosin Sharifi-Rnani * Dparmn of Economics, Khorasgan Branch, Islamic Azad Univrsiy, Isfahan, Iran Molood Raki Dparmn of Economics, Khorasgan Branch, Islamic Azad Univrsiy, Isfahan, Iran Naghmh Honarvar Dparmn of Economics, Khorasgan Branch, Islamic Azad Univrsiy, Isfahan, Iran Absrac Assumpion of xchang ra ovrshooing has significan posiion in inrnaional macroconomic discussion. This phnomnon is on of h abnormal bhaviors of xchang ra ha happn in shor run. Dornbusch (1976) shows ha bcaus spd of quilibrium prics is slow rlaiv o ass marks and commodiy prics ar sicky in h shor run, Howvr, ovr im, commodiy prics will ris and rsul in a dcras in ral mony supply and hus, in a highr inrs ra. This, in urn, will caus h currncy o apprcia. Th aim of his aricl is sudy of xchang ra ovrshooing for priod 2001:3-2010:2 by Vcor Error Corrcion approach. Rsuls show ha monary rlaiv shock in long run and shor run also ffc xchang ra ha imply xchang ra ovrshooing in Iran. Kywords: Monary policy, Exchang Ra Ovrshooing, Vcor Error Corrcion (VEC) Approach JEL Classificaion: F31, E52 * Corrspondn Auhor, sharifi55r@yahoo.com
68 Inrnaional Economic Sudis, Vol. 44, No. 1, Spring & Summr 2014 1. Inroducion Exchang ra as a cririon for naional currncy valu of a counry agains currncy of ohrs counris, rflcs conomic siuaion of hos counry in comparison o conomic siuaion of ohr counris. Exchang ra in on opn conomic for muual conncion wih anohr inrnal and xrnal variabls, accouns as ky variabl ha inrnal and xrnal conomic policis, conomic changs hav significan ffc o i. Also xchang ra is variabl ha can affc conomic opraion and conomic variabls. So for significan and rol of xchang ra in macroconomic, many rsarchs and sudis hav bn don abou i. From 1970 dcad ha was crad floaing xchang ra sysm, a lo of rsarchs wr on h drminans facors of xchang ras and monary modls o drmin xchang ra 1. Basd on rsuls of hs rsarchs mony supply, naional incom, inrs ra, inflaion and rad balanc hav bn main drminans of xchang ra (Taghavi, 1999; Yavari and Qadri, 2004). On of h major issus has bn rgarding inrs of many rsarchrs in xchang ra fild is sicky-pric monary xchang ra modl by Dornbusch (1976). Bas of his modl ar ha, prics in commodiy mark and wags in labor mark ar drmind wih h sicky assumpion and gradually chang by im and racion various movmn such as chang in mony supply. Bu xchang ra drmins in flxibl siuaion; so ha in rspons o his flucuaion, shows racion of islf immdialy. Exchang ra changs in his siuaion ar no consisn wih movmn in prics and can hav long run dviaion of Purchasing Powr Pariy (PPP). So in his modl, PPP hory in shor run, bcaus of prics ar sicky ha rsul of incompl informaion, diffrn conracs and diffrn consumpion parns, no sablish and will sablish in long run. In his modl for monary shock such as incras in mony supply, a h firs, xchang ra movs o lvls abov h lvl of is long run and by im and prics adjusmn in commodiy marks, i is moving owards valu of long-run quilibrium. 1 For xampl, can ci h rsarchs of Frankl (1976), Dorbnush (1976), Bylsun (1978), Frankl (1979), Dornbush and Fishr, Hoopr and Moron (1982). Gnrally phnomnon of xchang ra ovrshooing is vry svr changs in xchang ras in shor run. This phnomnon can affc o ral xchang ra, quaion of xchang, procss of nr and xi commodiy and invsmn and porfolio. Bcaus major rason for his phnomnon, is fricion and sicky in commodiy mark pric adjusmn procss, can us in businss cycls discussion. Following h xchang ra ovrshooing modl of Dornbusch, many sudis wr conducd by svral conomiss in his rgard. Driskill (1981), Bhandari (1985), Akiba (1996), Kolmann (1997), Goldfajn and Guba (2001), Papll (2004) and Nih and Wang (2005) affirmd Dornbusch wih mpirical rsuls. Bahmani-Oskoo and Kara (2000) wih monhly daa of Turky, conclud ha in racion o suddn incras in Turky mony supply, h dprciaion of h Turkish Lira lasd as long as 30 yars. Thy dmonsrad ha xchang ra ovrshooing migh b a long run phnomnon. Panami (2002) invsigad h xchang ra ovrshooing in 5 Wsrn Asian counris and by using h monary modl of sicky pric of Dornbusch and Auorgrssion Disribuion Lag (ARDL) approach concludd ha in h hs counris xchang ra ovrshooing happns bcaus of h monary shock. Duasa (2009) sudid ffc of shock in xchang ra on impor and xpor pric and usd som variabls such as mony supply, impor and xpor prics in his sudy. H found ha monary policy was h major facor of businss cycl whil xchang ra was as a channl for balancing monary policy ffc, and hn ransfrring his ffc o h conomy of Malaysia. Howvr, Willkinson al. (2000) do no follow h modl of Dornbusch s currncy mark procss. Wih rgard o h imporanc of xchang ra and monary policy, h objciv of his papr is o sudy his phnomnon in Iran and rlaionship bwn xchang ra and macroconomic variabls such as mony supply, naional incom, inrs ra and inflaion wih h applicaion of Vcor Error Corrcion Modl (VECM). To his aim, h horical discussions rlad o xchang ra ovrshooing will b considrd in Scion 2, and hn modl and mhodology ar prsnd in Scion 3. Scion 4 analyzs h mpirical rsuls, and finally conclusion and suggsions will b prsnd by Scion 5.
Analyzing Corrlaion bwn Inrnaionalizaion Orinaion and Social Nwork 69 2. Concpual Discussion Monary modl of xchang ra is focusd on h imporan rol of rlaiv mony supply. This modl sudis bhavior of xchang ra via changs in dmand for and supply of mony. W rviw monary approachs such as modls of xchang ra drmind by flxibl prics, dvlopd by Frankl (1976), Moosa (1976), Bilson (1978), monary modl wih sicky prics dvlopd by Dornbusch (1976) and diffrnc bwn ral inrs ra modl by Frankl (1979). Monary modl wih flxibl prics is basd on mony dmand funcion, Uncovrd Inrs ra Pariy (UIP) and assumpion of inflaion xpcaion as follows: s ( m m 0 ) ( y y ) ( p p ) (1) whr m is mony supply, p is xpcaion prics lvl, Y naional ral incom and s is xchang ra. Basd on his quaion, a 1% incras in naional mony supply, i lads o dprciaion in domsic currncy and vic vrsa, whil an incras in forign mony supply causs apprciaion in naional currncy. If naional incom incrass, i lads mony ransacion dmand o incras. This mans ha if on assums ha supply mony and inrs ra ar fixd, an incras in dmand is via a dcras in domsic prics. A dcras in domsic prics mans ha naional currncy apprcias and h PPP holds. In monary modl basd on flxibl prics, w assum ha nir prics in conomy ar complly flxibl so ha h xchang mark quilibrium sms ffciv. In such circumsancs, counris wih high lvl growh of mony ra ar bing concrnd wih high inflaion. Dornbusch (1976) dvlopd a modl ha can xplain long-run and larg dviaion of xchang ra. This modl, which is known as h monary modl basd sicky prics, shows phnomnon of xchang ra ovrshooing. I assums ha prics in commodiy marks and incom in labor mark ar sicky and chang slowly ovr im in rspons o various flucuaions. Sinc xchang ra is flxibl in rspons o a chang, flucuaions in is valu appar ovr h im. In such circumsancs, changs in xchang ra ar no consisn wih changs in prics. Domsic inrs ras for monary shock and prics sicky dcras and hn xchang ra rlaiv o long run balanc valu comfor o ovrshooing phnomnon. Du o dprciaion in domsic currncy, i can b xpcd o incras h compnsaion o low domsic inrs ras. Th conomy afr arly racion o xchang ra and inrs ra rlaiv o an incras in mony supply movs o long run balanc and dmand for domsic commodiis will incras. Sinc i is assumd ha producion is fixd, h dmand surplus for domsic commodiis lads o upward domsic prics lvl. Dmand surplus for domsic producs hrough forignrs will lad o an apprciaion in naional currncy. A h sam im, an incras in domsic pric lads o an incras in domsic currncy dmand and hn an incras in domsic inrs ra so ha i mainains quilibrium in h mony mark. According o Dornbusch modl wih assuming PPP in long run, UIP and rurn cash xchang ra owards long run balanc, proporion bwn currn xchang ra gap bwn long run balanc and ral inrs ra is spcifid as follows: s ( m m ( p 0 p ) ( y y 1 ) ) 0 r p r p (2) whr θ is rlaiv inrs ra o balanc valu, 0 p sands for long run xpcd domsic * inflaion ra and p is xpcd forign inflaion ra. In addiion, Frankl (1979) gnralizd h Dornbusch modl as follows: s b ( m m d ( i i ) ( p ) c ( y 0 p ) y ) (3) whr h only diffrnc bwn his modl (Equaion 3) and Dornbusch modl (2) is du o h us of sicky prics o xplain inflaion xpcaions. 3. Mhodology 3.1. Vcor Error Corrcion (VEC) Modl An analysis of im sris is usd o prdic im rnds of variabls usd in our modl. In h siuaion ha saionary rquirmn of im sris is dfcd, variabls ar sabl wih diffrnc, and hr is co-ingraion bwn variabls, w can us VEC modl as wll. This modl givs rliabl simaion of h modl in
70 Inrnaional Economic Sudis, Vol. 44, No. 1, Spring & Summr 2014 comparison wih VAR modl o valua shor run dynamics. Basd on VAR modl and h assumpion ha all variabls ar I(1), Lukpohl (2004) inroducd gnral VEC modl wih r coingraion as follow: 0 y y 1 1... p 1 y p 1 B 0... B q x q CD y u x 1 (4) whr y is a vcor of K obsrvabl ndognous variabls, x is a vcor of M obsrvabl xognous variabls whil D conains all rmaining drminisic variabls. Drminisic variabls may b consan, linar rnd; sasonal dummy variabls and so on. Th rsidual vcor u is assumd o b a K-dimnsional unobsrvabl zro mans bing whi nois wih dfini posiiv covarianc marix E(u u ) Σ. Th paramr marics α and β u hav dimnsions (K r) and hy hav h rank r. Thy spcify h long-run par of h modl wih β conaining h coingraing rlaions and α rprsning h loading cofficins. If 0 = I, hr ar no zro rsricions on h j marics and hr ar no xognous variabls, ha is, a rducd form modl is spcifid wihou xognous variabls and whr ach quaion has h sam righ-hand sid variabls, hn h Johansn rducd rank (RR) simaion procdur and a simpl wo sp (S2S) mhod can b applid (Lukpohl and Krazig, 2004). Sims (1980) inroducd Impuls Rspons Funcions (IRF) and Forcas Error Varianc Dcomposiion (FEVD) o sudy dynamics bwn variabls. IRF can b usd o analyz h dynamic inracions bwn h ndognous variabls of a VEC procss. Forcas rror varianc is dcomposd ino componns accound for by h innovaions in h diffrn variabls of h sysm. 3.2. Modl Spcificaion According o Frankl modl (1979), and spcial considraion of Iran's conomy, w can spcify h modl as follow: Y = E M Y (5) In his quaion E is h xchang ra bass on h US dollar. M is diffrnc bwn mony supply in Iran and h Unid Sa, Y is h diffrnc bwn ral GDP of Iran and ha of Unid Sa and π is diffrnc bwn inflaion ra of Iran and Unid Sa 1. Basd on h monaris viw, hr is an xpcaion ha mony supply diffrnc cofficin is posiiv. On h ohr hand, mor growh in Iran s producion in comparison wih h Unid Sa producion can srnghn h domsic currncy. Thrfor, h ngaiv cofficins of diffrnc producion ar xpcd. Also, i xpcs o h cofficins of inflaion ra diffrnc is posiiv, bcaus dprciaion is dpnd on incras in domsic inflaion ra. I nos ha bcaus of no claring in mony and financial marks of counry, govrnmn involvmn in hs marks, no availabiliy of inrs ra im sris and insignifican changs of inrs ra, his variabl dls in modl spcificaion. Thus w can spcify modl basd on quaion (4) as follows: E 1 M 2 Y 3 4 11 1 2 p 21 22 i1 31 1 2 41 42 c 1 2 EC 1 3 4 1 3 1 4E i uˆ 1 a i, 23 24 M i uˆ 2 33 34 Y i uˆ 3 43 44 i uˆ 4 (6) 4. Empirical Rsuls This scion rviws mpirical rsuls of simaing h rlaionship bwn h modl variabls hrough applying VEC approach basd on monhly saisics 2001:3-2010:2 in which daa blong o h Unid Sa and Iran 2. I slcs monhly daa bcaus xchang ra ovrshooing is a shor run phnomnon. Th rsuls of uni roo s on h modl variabls hrough using Augmnd Dicky Fullr (ADF) hav rpord in Tabl 1. Th rsuls show ha all variabls ar I(1) in h 1% significan lvl. Hnc hy allow us o us VEC approach. 1. All variabls ar in logarihmic forms. 2 -All daa hav bn obaind from h Cnral Bank of Iran s balanc shs for diffrn yars and daa for h Unid Sa was akn from h Fdral Rsrv wbsi.
Analyzing Corrlaion bwn Inrnaionalizaion Orinaion and Social Nwork 71 Tabl 1: Rsuls of Augmnd Dicky Fullr Uni Roo s Lvl variabls Saisics Diffrnc variabls Saisics E -2.49 ΔE -5.22 M -1.49 ΔM -3.70 Y -2.16 ΔY -3.88 Π -1.98 Δπ -5.92 Nos: Criical lvls of s saisics ar basd on h sudy of Davidson and MacKinnon (1993): - Wih an inrcp, a linar rnd and sasonal dummy variabls 10%: (-3.13), 5%: (-3.41), 1%: (-3.96) - Wih an inrcp and sasonal dummy variabls wihou a linar rnd 10%: (-2.57), 5%: (-2.86), 1%: (-3.43). Sourc: Auhors To drmin h opimal lags bing significan in h VEC modl, w us Akaik Informaion Cririon (AIC), Schwarz Cririon (SC), Hannam-Quinn Cririon (HQC) and Final Prdicion Error (FPE). Basd on rsuls rpord in Tabl 2, o compar h numbrs of lags, w slc 1 lag priod o variabls basd on SC cririon in ordr o prsrv mos of obsrvaions. Tabl 2: Numbr of Opimal Lags AIC 11 FPE 11 SC 1 HQC 9 Sourc: Auhors To s h long-rum quilibrium rlaionship bwn variabls in our modl, w hav usd Lukpohl and Krazig (2004) and Johansn (1995) coingraion ss. Th rsuls indica ha hr xiss a long-run quilibrium rlaionship bwn xchang ra and macro fundamnals. Ths rsuls ar rpord in Tabl 3: Rank r 0 r 1 r 2 r 3 Tabl 3: Th rsuls of coigraion s LR 118.48 40.74 18.02 6.06 Johansn Coingraion p- valu 0.00 0.08 0.35 0.46 5% LR criical valus 63.66 42.77 25.73 12.45 Lukpohl - Krazig Coingraion LR 70.12 p- valu 0.00 20.05 0.39 8.51 0.49 0.44 0.93 5% LR criical valus 45.32 28.52 15.76 6.79 Nos: Th undrlind numbrs indica h slcion of rank r. Th VAR lag lngh is 1 for h modl, which is slcd basd on h smalls numbr of SC. Sourc: Auhors Addiionally, w apply diagnosic ss o xamin agains auocorrlaion, non-normaliy, and MARCH ffcs in h VAR rsiduals. W rpor h rsuls in Tabl 4, which show ha non of h diagnosic ss imply signs of misspcificaion. Tabl 4: Th rsuls of h diagnosic ss Ts Q 16 LM 1 LM 2 LJB 2 (2)MARCH LM Ts saisic 370 27 53 9.35 528 p-valu (0.07) (0.06) (0.05) (0.31) (0.18) Nos: Null hypohsis was rjcd only whn h saisic p-valu is lss han 0.1 or 0.05 Q h : Pormanau s for dcion auocorrlaion LM h : Brusch Godfry s for dcion auocorrlaion LJB k : Jarqu-Bra s for dcion of non-normal MARCH LM (q): ARCH-LM s for dcion auorgrssiv condiional hroskdasiciy Sourc: Auhors Tabl 5 rprsns h simad rsuls for h VEC modl as spcifid prviously. Such rsuls show ha a h firs, w hav dprciaion in domsic currncy in 3 laggd priod, and hn apprciaion in 7 nx lags so ha his rsul confirms xchang ra ovrshooing in shor im. Cofficin signs of ohr variabls ar also consisn wih h monary liraur. Ngaiv simad cofficins of Δ and ΔY show ha conomic growh and inflaion in comparison wih h Unid Sas will rinforc h domsic currncy valu. Rgarding long-run rlaionship of xchang ra ovrshooing, as in Par B can b sn in Tabl 5, mony rlaiv supply lasiciy has bn simad by abou 0.18, which mans 1% incras in mony rlaiv supply in Iran; causs currncy dprciaion in domsic currncy. Cofficin of rlaiv producion is ngaiv and significan and shows ha 1% incras in
72 Inrnaional Economic Sudis, Vol. 44, No. 1, Spring & Summr 2014 domsic produc causs a 0.67% dcras in xchang ra or apprcia h domsic currncy, ha hs rsuls ar consisn wih h liraur. Sinc domsic gross producion of Iran is dpnding on oil rvnu, an incras in govrnmn rvnu du o oil xpor has a significan ffc on apprciaion of domsic currncy. Th cofficin of rlaiv inflaion is significan and dspi monaris viw is ngaiv. Howvr, is rlaiv ffc on h xchang ra is vry small and ngligibl. Lags Tabl 5: Esimaion rsuls of h VEC modl Par A: Shor-run cofficins ٠ 1 2 3 4 5 6 7 8 9 10 11 ΔE ΔM ΔY Δπ C -0.49 (-0.99) -0.16-0.27-0.46-0.31-0.44 0.07-0.98-0.29-0.20 0.17 0.30 (-0.65) (-1.15) (-1.89) (-1.27) (-1.76) (0.28) (-3.59) (-1.03) (-0.69) (0.65) (1.17) 0.01 0.02 0.01-0.05-0.07-0.02-0.08-0.02-0.09-0.05 0.01 (0.11) (0.26) (0.25) (-0.84) (-1.12) (-0.23) (-1.16) (-0.29) (-1.45) (-0.82) (0.07) -0.17-0.14-0.08-0.12-0.12-0.10-0.07-0.09-0.06-0.06-0.02 (-1.38) (-1.27) (-0.71) (-1.19) (-1.36) (-1.37) (-0.75) (-1.17) (-1.17) (-0.90) (-0.30) 0.00 0.00 0.00-0.001-0.001 0.00 0.00 0.00-0.01-0.01-0.01 (-0.24) (-0.23) (-0.28) (-0.41) (-0.67) (-0.22) ( -0.22) (-0.48) (-1.30) (-1.35) (-1.47) No: Numbrs in parnhss show h saisics. Sourc: Auhors P ar B: Long-run cofficins E 3.57 0.181 M 0.674 Y 0.007 75.49 70.57 12.34 3.99 Figur 1 shows impuls rspons of arging variabls hrough applying h mhod of Hall (1992) in 95% significan lvl wih h numbr of 500 boosrap rplicaions. This figur shows xchang ra ovrshooing wll, bing in lin wih h abov rsuls in shor and long run. Tabl 6 also shows h shar of ach variabl on h innovaions crad in h xchang ra in YE form of forcas rror varianc dcomposiion. Th shar of shock in mony supply rlaiv o xchang ra varianc in sason 24 appars o is maximum valu (56%). Th shars of GDP and rlaiv inflaion shock ar12% and 3% ha confirm h rsarch findings in impuls rspons analysis. ME πe Figur (1) Impac rspons analysis of ohr variabls han h xchang ra Sourc: Auhors
Analyzing Corrlaion bwn Inrnaionalizaion Orinaion and Social Nwork 73 Tabl 6: Forcas rror varianc of all variabls wih rspc o xchang ra changs Priod ε E ε M E ε Y ε π 1 1.00 0.00 0.00 0.00 4 0.94 0.01 0.00 0.04 8 0.82 0.11 0.01 0.05 12 0.60 0.32 0.05 0.03 24 0.30 0.56 0.12 0.03 40 0.44 0.43 0.10 0.03 Sourc: Auhors 5. Conclusion This sudy has discussd xchang ra monary ovrshooing phnomnon hrough using im sris daa, coingraion and VEC approachs o xamin h rlaionship bwn xchang ra and monary variabls in Iran in h shor run and long run. Gnrally h rsuls hav suggsd h xisnc of a long-run quilibrium rlaionship bwn h modl variabls and confirm h occurrnc of xchang ra ovrshooing in shor run and long-run. Rsuls also hav shown h snsiiviy and imporanc of h monary policy adopd, bcaus monary policy ar known as on of h ffciv facors in drmining xchang ras in Iran. In addiion, h rsuls of simaing modl hav rprsnd a posiiv and significan ffc of mony rlaiv supply on xchang ras. Ths rsuls hav bn fully consisn wih modls of monary xchang ras and rflc snsiiviy of xchang ras o monary shocks in longrun. Rsuls hav indicad a significan ngaiv ffc on h rlaiv producion o xchang ra and hav shown incras in domsic producion rlaiv o Unid Sa producion, lads o dcrasing in xchang ra or rinforc naional currncy. Ths rsuls hav bn consisn wih h monary liraur. Bcaus Iran s gross domsic produc is dpndn mosly on oil rvnus in a vry high lvl, an incras in forign xchang arnings from oil xpors can b hav a significan impac in srnghn h naional currncy. On h ohr hand, in ims of conomic growh, forign invsors can b opimizd o h fuur of h counry and dcidd o invs mor, hn h domsic currncy valu is incrasd. In addiion, h rsuls of modl simulaions of monary xchang ra, basd on impuls rspons funcion hav confirmd h xchang ra ovrshooing phnomnon o h rspons o monary innovaions in h long run. Rsuls suggs ha monary shocks affc h nominal xchang ra so ha an unxpcd monary xpansion appars as a rcurrn ovrshooing in xchang ra. Rfrncs 1. Akiba, H. (1996), Exchang-Ra Snsiiv Dmand for Mony and Ovrshooing, Inrnaional Economic Journal, 10(2), 119 129. 2. AKhbari, M. (2006), Trnd Ts of h Monary Exchang Ra Movmns In Th Priod 1978-2004, Economic Rsarch, 75, 43-74. 3. Bahmani-Oskoo, M. and O. Kara (2000), Exchang Ra Ovrshooing in Turky, Economics Lrs, 68, 89 93. 4. Bahmani-Oskoo, M. (1995), Th Dclin of h Iranian Rial during h Pos- Rvoluionary Priod: Th Monary Approach and Johansn s Coingraion Analysis, Canadian Journal of Dvlopmn Sudis, 16 (2), 90-277. 5. Bhandari, J. S. (1985), A Look a Ovrshooing in a Two-Tir Floa Exchang Ra Sysm, Economics Lrs, 19, 57 61. 6. CBI, Cnral Bank of Iran s Balanc Sh (various yars), www.cbi.ir 7. Duasa, J. (2009), Impac of Exchang Ra Shock on Prics of Impors and Expors, Inrnaional Economics Sudis, 34(1), 59-68 8. Dornbusch, R. (1976), Expcaions and Exchang Ra Dynamics, Journal of Poliical Economy, 84, 1161 1175. 9. Driskill, R. (1981), Exchang Ra Ovrshooing, h Trad Balanc, and Raional Expcaions, Journal of Inrnaional Economics, 2(4), 361 377. 10. Fdral Rsrv, Facor Affcing Rsrv Balanc (various yars), hp://www.fdralrsrv.gov/ 11. Frankl, J. (1979), On h Mark: A Thory of Floaing Exchang Ras basd on Ral Inrs Diffrnials, Amrican Economic Rviw, 69, 610-622. 12. Goldfajn, I. and P. Gupa (2001), Ovrshooing and Rvrsals: Th Rol of Monary Policy, Cnral Bank of Chil, Working Papr, No. 126, 279 302. 13. Hall, P. (1992), h Boosrap and Edg worh Expansion, Nw York: Springr. 14. Johansn, S. (1995), Liklihood-basd Infrnc in Coingrad Vcor Auorgrssiv Modls, Oxford: Oxford Univrsiy Prss. 15. Kolmann, R. (1997), h Exchang Ra in a Dynamic-Opimizaion Currn Accoun Modl wih Nominal Rigidiis: A Quaniaiv Invsigaion, IMF Working papr, No. 432. 16. Lukpohl, H, Krazig, M. 2004. Applid Tim Sris Economrics, Cambridg:
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