In this study, using monthly data of non-official exchange rate during 1980-2009, we examined the long memory of non-official exchange rate of Iran and the effects of its shocks to its nominal uncertainty. The results of the long memory tests indicate that the non-official exchange rate of Iran has long memory which means that the effects of the shocks on it, remain for long periods of time. The asymmetric effects of the exchange rate shocks on its nominal uncertainty have been investigated after supporting of long memory of the exchange rate. The estimation of APGARCH and GJR models indicate that the asymmetric coefficient of these models is negative and has high significant level, which means that the non-official exchange rate shocks has asymmetric effects on its nominal uncertainty, so that the negative shocks produce more uncertainty than positive one.
Erfani, A., & Jahani, Z. (2013). Investigation of the Effects of Non-official Exchange Rate Shocks on Its Uncertainty: Long-Memory of Exchange. Quarterly Journal of Applied Theories of Economics, 1(1), 73-96.
MLA
Alireza Erfani; Zahra Jahani. "Investigation of the Effects of Non-official Exchange Rate Shocks on Its Uncertainty: Long-Memory of Exchange". Quarterly Journal of Applied Theories of Economics, 1, 1, 2013, 73-96.
HARVARD
Erfani, A., Jahani, Z. (2013). 'Investigation of the Effects of Non-official Exchange Rate Shocks on Its Uncertainty: Long-Memory of Exchange', Quarterly Journal of Applied Theories of Economics, 1(1), pp. 73-96.
VANCOUVER
Erfani, A., Jahani, Z. Investigation of the Effects of Non-official Exchange Rate Shocks on Its Uncertainty: Long-Memory of Exchange. Quarterly Journal of Applied Theories of Economics, 2013; 1(1): 73-96.
)