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Evaluation of the Long-Term Relationship Between Crude Oil Prices, Gold Prices, House Prices and Exchange Rate in Iran Using the Structural Vector Error Correction Approach
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Abstract: (5888 Views) |
This study examines the long-term relationship between oil prices, exchange rates, house prices and the price of gold in Rials over the period 1995 to 2012, using the structural vector error correction approach (svecm). Co-integration test results indicate the existence of a long-term relationship between the variables significant at 99% level. According to the definition of currency (dollars per Rial), the results of impulse response functions show that the local gold price shock has a negative effect on the exchange rate in the short, medium and long term. The housing price index shocks have negative effect on the exchange rate in the short, medium and long term. Crude oil price shocks have a positive effect on the exchange rate in the short, medium and long term. The study of the variance of results indicates that oil prices have the most significant impact on the variance in exchange rates, especially in the long term.
JEL Classification: A10, C10, C12, E40
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| Keywords: : Long-term relationship, exchange rates, the price of gold, crude oil prices, house prices, structural vector error correction approach |
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Full-Text [PDF 712 kb]
(2551 Downloads)
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Type of Study: Research |
Subject:
Macro Economic-Currencies
Received: 2016/06/30 | Accepted: 2017/05/28 | Published: 2017/09/20 | ePublished: 2017/09/20
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