نوع مقاله : علمی
نویسندگان
گروه اقتصاد، واحد تهران مرکز، دانشگاه آزاد اسلامی، تهران، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
This study investigates the effects of exchange rate jumps on the performance of selected industries listed on the Iranian stock market, with a particular focus on export-oriented and import-dependent industries. Given Iran’s economic characteristics including extensive international sanctions and a high dependence on foreign exchange resources a precise analysis of exchange rate dynamics and their impacts on different industries is of critical importance. The primary objective of this research is to identify the positive and negative effects of exchange rate jumps and to propose policy and firm-level strategies for managing these effects. To this end, daily exchange rate data for the US dollar and the euro over the period 2002–2021 were employed. Simulated data on profitability and production costs of export-oriented and import-dependent industries were also constructed to examine the effects of exchange rate fluctuations. Advanced jump detection methods, including the Barndorff-Nielsen and Shephard (BNS) and Aït-Sahalia and Jacod (AJ) tests, were applied to identify exchange rate jumps and analyze their effects on key financial indicators such as the stock market index, export revenues, and import costs. The results indicate that exchange rate jumps have asymmetric and contrasting effects on export-oriented and import-dependent industries. Export-oriented industries, such as petrochemicals and steel, benefit from exchange rate increases, experiencing higher profit margins and export revenues. In contrast, import-dependent industries, including automotive and pharmaceutical sectors, face declining profit margins due to rising production costs driven by higher prices of imported inputs. Moreover, a strong correlation between exchange rates and the stock market index suggests that exchange rate movements positively affect the performance of export-oriented industries and the capital market as a whole.
کلیدواژهها [English]
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