Quarterly Publication

Document Type : Original Article


1 Ph.D. Candidate, Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

2 Assistant Professor, Department of Business Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran, fhanifi1351@gmail.com

3 Associate Professor, Department of Economics, Allameh Tabatabai University, Tehran,Iran

4 Associate Professor, Department of Business Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran


One of the variables affecting the behavior of enterprises is the exchange rate. Uncertainty about the amount of exchange rate volatillity for each firm is considered as a risk. The aim of this study is to explain a model to investigate the effect of exchange rate shocks on the financial sustainability of export-oriented companies. In this regard, the data on exchange rate, tax, oil revenue and export variables on financial sustainability was collected for 19 groups of companies from 2008 to 2019. To achieve the research goal, the Panel Vector Autoregressive Model (PANEL VAR) using the generalized method of moments (GMM) was used to analyzed the data. Then the results were interpreted using the Impulse Response Function and variance decomposition. The results of the IRF show that the effect of exchange rate volatility on the financial sustainability variable is initially negative, but has a positive effect over time and is neutralized after several periods. The same goes for an impulse equal to a standard deviation in tax. Also, the oil revenues and exports impulse have negative and positive effects on financial sustainability, respectively. According to the results of variance decomposition, it can be said that the effect of exchange rate on financial sustainability is greater than the effect of sustainability on exchange rate, because the exchange rate shocks have more explanatory power for sustainability fluctuations.


Main Subjects

Abbasi, Abbas, Ansari, Abdul Mahdi and Mehdi, Bahar Moghaddam. (2012). The Effect of VAT on Profitability, Capital and Financial Resources of Companies Listed on the Tehran Stock Exchange. Economic Journal of the New Year of the Twelfth Year, Nos. 9 and 10.
Asadi, Z., Yavari, K., & Heydari, H. (Spring & Summer 2020). The study of the Effects of Liquidity and Credit Risk on Bank Stability in Iran Using the Z-score Index. Biquarterly Journal of Economic Research.
Andrews, D. W., & Lu, B. (2001). Consistent Model and Moment Selection Procedures for Gmm Estimation with Application. Journal of econometrics 101.1, 123–164.
Bakhtiari, Sadegh and Haghi, Zahra. (2000). Investigating the Effects of Increasing Oil Revenues on the Agricultural Sector Case: Dutch Disease in the Iranian economy. Agricultural Economics and Development 2001 No. 35.
Beattie, A. (2019). The 3 Pillars of Corporate Sustainability. https://www.investopedia.com/articles/investing/100515/three-pillars-corporate- sustainability.asp.
Botha, & Jaco, L. (2017). Effect of Exchange Rate Volatility on Profitability of South African Mining Firms - Evidence from the JSE. Thesis.
Budiono, G. (2017). PROFITS: A Case of Exchange Rate Volatility. Jurnal Akuntansi, 21(1):75.
Demian, C.-V., & Mauro, F. (2018). The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions. International Economics, 68-85.
Falahati, A., Fatahi, S., Dizgarani, A., & Shokri, N. (2017). Investigating Financial Stability and Transient Financial Shocks in the Iranian Economy. Quarterly Journal of Financial Economics, 123-154.
Gujarati, D. (2011). Econometrics by Example/Damodar Gujarati. Number 330 (2011), G84.
Izadi, Nasser and Dastgerdi, Parvaneh. (2014).  The Effect of Investment Growth on the Relationship Between Earnings and Current Value Per Share. Journal of Accounting Knowledge Fifth Year, No. 16.
Jalaee, S. A., Mir, H., & Rahimipoor, A. (2016). Effect of exchange rate pass on Stock Returns in Tehran Stock Exchange. Investment knowledge.
Jahani Raeini, P., Mortazavi, A. and Mojahedi, M. (2006). Investigating the Effects of Oil Revenues on the Iranian Economy (as a case in point similar to the Dutch disease). Quarterly Journal of Economic Research and Policy.2006, (39 and 40): 104-135
Jiang, Q., Liu, Z., Liu, W., Li, T., Cong, W., Zhang, H., & Shi, J. (2018). A principal component analysis based three-dimensional sustainability. To appear in: Journal of Cleaner Production.
Koosha, Soheila. (2016). Investigating the Effect of Currency Shock in 2012 in Iran on the Stock Prices of Selected Companies (Unpublished Master's Thesis). Yazd: Yazd University, Humanities Campus.
Majbobi, P. (2010). The Impact of Real Exchange Rate Fluctuations on Iran's Foreign Trade. Master Thesis: Shiraz University.
Oloba, O. & Abogan, O. (2013). Exchange rate volatility in Nigeria: Evidence from a parametric measure. Australian Journal of Business and Management Research, 3 (5): 12-17.
P.Uche, E., Iliemena, R., & Happiness, G. (2020). Exchange Rate Fluctuations and Financial Performance Of Nigerian Companies: Study Of Quoted Conglomerates (2007-2018). International Journal of Innovative Research and Advanced Studies (IJIRAS), Volume 7 Issue 7.
Raee, R., Hasanzade, P., & Bayazidi, A. (2017). Investigating the Effect of Exchange Rate Fluctuations on the Profitability of Export Companies. Accounting and Auditing Research, 5-20.
Raeini, R., Hassanzadeh, P. and Bayazidi, A. (2017). Investigating the Effect of Exchange Rate Fluctuations on the Profitability of Export Companies. Accounting and Auditing Research, Fall 2017, No. 35, 5-20.
Rashid, A., & Waqar, S. M. (2017). Exchange Rate Fluctuations, Firm Size, and Export Behavior: An Empirical Investigation. Small Business Economics, 609-625.
Ruth, K. (2021). Effect of Foreign Exchange Fluctuations on Profitability of Export Companies: a Case of Kyagalanyi Coffee Limited. School of Statistics and Planning (SSP) Collection.
Saadati, A., Honarmandi, Z., & Zarei, S. (20 May 2020). Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model. Munich Personal RePEc Archive.
Senadza, B., & DelaliDiaba, D. (2017). Effect of Exchange Rate Volatility on Trade in Sub-Saharan Africa. Journal of African Trade.
Shakeri, Abbas, Mohammadi, Teimur, Nazeman, Hamid and Taherpour, Javad. (2013). Investigation of the Occurrence of Dutch Disease in the Iranian Economy and its Effect on Economic Growth. Journal of Economic Research, 63-86.
Subanti, S. Hakim, A. R. Riani,A. L.Hakim,I. M. Nasir,M. S. (2019). Exchange Rate Volatility and Exports: A Panel Data Analysis for 5 ASEAN Countries. Journal of Physics: Conference Series.
Sugiharti, L., Esquivias, M., & Setyorani, B. (2020). The Impact of Exchange Rate Volatility on Indonesia's Top Exports to the Five Main Export Markets. open access journal Heliyon
Torabi, B. (2014). The Relationship Between Exchange Rate Fluctuations and Profit Stability. (Unpublished Master's Thesis).  Neishabour Azad University.
Tunç, C., & Solakoğlu, M. N. (2017). Not All Firms React the Same to Exchange. International Review of Economics and Finance (2017).
Zhang, T., & Ouyangb, P. (2018). Is RMB Appreciation a Nightmare for the Chinese Firms? An Analysis on Firm Profitability and Exchange Rate. International Review of Economics & Finance, Volume 54, Pages 27-43.