The Journal of Economic Studies and Policies

The Journal of Economic Studies and Policies

Investigating the Asymmetric Effects of Exchange Rate Uncertainty on Investment in Iran Using the MT-NARDL Approach

Articles in Press

Document Type : Original Article

Authors
Sajjad Anjomshoaa 1
Mohsen Mehrara 2
Yazdan Gudarzi Farahani 3
1 Economics Departmant, Kish International Campus, University of Tehran,, Kish, Iran.
2 Professor in economics, University of Tehran, Iran.
3 Economics Department, Economics Faculty, University of Qom, Qom, Iran.
10.22096/esp.2026.2080114.1855
Abstract
This study examines the asymmetric effects of exchange rate uncertainty on investment in the Iranian economy. Given the critical role of the exchange rate in economic decision-making and the differing impacts of its appreciation and depreciation on investment levels, the present research employs the Multivariate Threshold Nonlinear Autoregressive Distributed Lag (MT-NARDL) model. The dataset consists of quarterly time-series data on the real effective exchange rate, investment, gross domestic product, inflation, and government expenditure over the period 1991–2024. The main objective is to analyze the short-run and long-run asymmetric effects of exchange rate shocks on investment while identifying potential threshold levels that distinguish different economic behavioral regimes. This approach allows for the investigation of nonlinear and dynamic relationships among the variables. The results indicate that a positive exchange rate shock (depreciation) has a coefficient of –0.39, implying that an increase in the exchange rate leads to a reduction in domestic investment. In contrast, the coefficient of a negative exchange rate shock (appreciation) is +0.23, suggesting that a decrease in the exchange rate stimulates investment in the country.
Keywords
Exchange rate
Investment
Economic growth
Multivariate Threshold Nonlinear Autoregressive Distributed Lag (MT-NARDL)
Subjects
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The Journal of Economic Studies and Policies

Articles in Press, Accepted Manuscript
Available Online from 14 September 2026