Professional Documents
Culture Documents
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(*)5022-5002
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(. )5022-5002
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Abstract
The aim of this research to know the effect of fluctuations in the exchange rate of
the Iraqi dinar , the general index of the prices of shares of companies listed on
the Iraq Stock Exchange and to clarify the type of relationship between these
fluctuations , and the general index of the stock prices , has been the use of a
methodology ( Johansen - Geslius )co integration of vector autoregressive and
causality ( Granger ) to test the relationship between the exchange rate and the
general index of share prices in Iraq for the period ( 2005-2011 ) .
Results of the analysis were known about the existence of a causal relationship
129
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exchange rate to the general index of prices on the one hand , and the general
index of share prices to the exchange rate on the other hand , and this is in line
with the analytical side of the research , and certainly the primacy move in the
general index of the stock prices change compared to the fluctuations in
exchange rates and therefore the possibility of considering the possibility of the
index in the stock market as an indicator on the direction of future economic
exchange rates and disparate impact in different directions on the general index
of the stock prices from month to month , according to the surveyed period , to
financial market of the research sample . Means the possibility of using the
exchange rate policy to influence economic activity through the influence of the
stock market indicators , including the general index of prices , and thus guide
the exchange rate policy properly .
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Views 5.1 )-E : ) :
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: :
-2 :
Pilbeam , 2010 : 260
( )7 : 5002
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: _ :
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( ) )Carbough,2002:494( :
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).(Pugel&Lindert,2000:409
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() Prissert , et.al ,1992 :305
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Pilbeam (.
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( Shapiro ,
)2003 : 117
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)Arnold ,2012 : 511( :
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) (Anne,1984:18
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( )94-93 : 5004
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( - ) :
Ho : a =0
H1 : a > 0
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(.) 2-
( )2
( )%20%2%2
( )%20%2%2 ( )2-
.
(( : )2 )
Variables
ADF
(B )
*-4.076
**-3.467
(A )
-1.498
***-3.160
*-3.514
**-2.898
-1.578
(X )
***-2.586
-1.643
-2.776
(Y
)
1st. Differences
1st. Differences
-4.731
-3.920
-6.279
-6.301
*: . %2
** . %2
*** %20
A.
B.
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( ) 245: 5025
2742
)Johansen ,1991 :1551 ( :
: :
( (r )r=n(r :
:T
: : Max
) n=r) r ( )n=r+1
:
( ) II
( )0r II =rn
( )5 :
( :) 5
Critical Value
Statistic Value
Trace-1
15.49471
r >1
18.73347
144
r =0
3.841466
2.849033
//
r>2
r1
-5Maximum
14.26460
15.88444
r =1
r =0
3.841466
2.849033
r =2
r =1
%2
))X ,Y
( )5
( )%2
( ) % 72
( )%2
.
: :
X Y 2727 2795
X
Y X Y
( X )257 : 5020 Y
= )2(...................
= + = +
)9(.............................Y = = + = +
) )F
( (F ()
) )F ( )
( )244 : 5025
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//
( ( :)3
)
obs
F. statistic
F . Probability
Lags
81
5.37524
0.02305
3.33941
0.07146
.612610
0.54462
2.52695
0.08669
1.46082
0.23243
2.22503
0.09257
X
X
Y
X
Y
40
X
Y
Y
X
97
Y
Y
94
1.10001
0.36362
X
X
Y
Y
X
99
1.03244
0.39684
0.74971
0.58924
0.94202
0.45987
Y
Y
X
92
0.81945
0.55902
0.62962
0.70595
( (f 42
%4
. %7 .
146
//
- )(VAR
) (Rachev ,2007:321 (
( : ) 242 : 5025
)4(...................................=0+= ++Vt
: Zt
:a 0 ( (n*n( )n*1
:
: P ( )
:Ut
))Khalifah ,1998:837-844
)7(...................Yt=0+= + = + +Vt
)20(......... Xt=0+
= + = + +Vt
:
:
( (2
( : ) 77 : 5025
-2 ((Likelihood
-2 :
-3 :
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( ) 4
:
(Likelihood , AIC) :
(( : )4 )
)(X ,Y
)X(-2
1.799132
0.138653
)(0.11511
)(0.24459
][ 15.6299
][ 0.56688
-1.083266
-0.175169
)(0.20808
)(0.44214
][-5.20597
][-0.39619
0.278693
-0.016648
)(0.11623
)(0.24696
][ 2.39784
][-0.06741
0.083203
1.003738
)(0.05238
)(0.11130
][ 1.58838
][ 9.01801
-0.126909
0.132872
)(0.07672
)(0.16303
][-1.65409
][ 0.81503
0.080557
-0.345391
)(0.05191
)(0.11029
][ 1.55197
][-3.13160
2.814223
84.94341
)(14.5113
)(30.8341
][ 0.19393
][ 2.75485
)X(-2
)X(-3
)Y(-1
)Y(-2
)Y(-3
148
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R-squared
0.994568
0.878804
Adj. R-squared
0.994115
0.868704
F-statistic
2196.948
87.01284
Log likelihood
-285.9121
-345.4540
Akaike AIC
7.415496
8.922885
Schwarz SC
7.625447
9.132836
] [ ( ) & T :
( )3
( )
. ( )4
( )542572- )(-0525
(. )Schwarz
( ) 4
( ) :
( )2597
( )-2504
( )0559
( )05043 ( )05040
( )-0525
149
//
) ( ( )0577 ()0577
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( )- 0529
( )-0502
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( )0542 )( F( (. )49502
150
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A-BOOKS
23-Arnold , Glen , MODERN FINANCIAL MARKETS AND INSTITUTIONS APRACTICAL PER
SPECTIVE , 1th Ed ,Pearson, 2012
27- Jcorbough , Rebert, INTERNATIONAL ECONOMICS ,eight edition, Central Washington , 2002.
28-Pilbeam , Keith, INTERNATIONAL FINANCE, 6th ed., U.K.: Palgrave Inc, 1998.
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30-pugel ,Thomas , A.,& Lendert ,peter ,H., INTERNATIONAL ECONOMICS 11 th Ed, McGraw-Hill
Irwin ,2000
B-Searches
33-Anne, Krueger ,EXCHANGE RATE DETERMINATION , London Cambridge University press
,1984
INTEGRATION WITH APPLICATION TO THE DEMAND FOR MONEY ,oxford bulletin of Economics
and statistics ,vol 52 ,1990
39-Wild ,Allayaninis , G.and Ofek,E., EXCHANGE RATE EXPOSURE, HEDGING AND THE USE OF
CURRENCY DERIVATIVES , Journal of International Money & Finance , Vol,20.,2001 .
157