Document Type : applicative

Authors

• Ebrahim Hadian ¹
• Behnam Izady ²

¹ Professor of Economics, Department of Economics, Shiraz University

² PhD Student of Economics, Department of Economics, Shiraz University.

Abstract

The main purpose of this study is to investigate the nonlinear effect of the nominal exchange rate on the stock value of the petrochemical industry in Iran, emphasizing the role of monetary policy.  To do this, the nonlinear autoregressive distributed lag model (NARDL) was used; because in this method, there is a possibility to investigate the asymmetric effects of the exchange rate in the short and long term. For this purpose, seasonal data from 2018:1 to 2023:1 was used. The NARDL bound test results showed that a cointegration relationship existed between the variables used, including the nominal exchange rate, liquidity, and the total value of the petrochemical industry. Also, the NARDL model estimation results showed that the exchange rate had an asymmetric behavior in the short and long term somehow repeated increases in the nominal exchange rate in the short and long term, the stock value of the petrochemical companies increased while with the reduction of the nominal exchange rate, the positive relationship existed but with lower coefficients.

Keywords

• Nominal Exchange Rate
• Petrochemical Industry Stocks
• Asymmetric Effects

Main Subjects

• Industrial Economics, Structure_Conduct-Performance