//

-
(*)5022-5002

..

// //

( ) ()
(. )5022-5002

. .
.

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

bidirectional between the variables mentioned, moving from the

*

129

//

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

activity . The regression results showed that self- destined to fluctuations in

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 .

2792

- -

.
.

130

//

:
- :

:
:

-2
-5

-3 ( )5022-5002

: :

-2
.

131

//

-5
.

-3

.

-4
.

: :
:

-2 .
-5
.

-3
.

-4
.

: :

-2 :
. :

-
.

- .

-5 :
. :

132

//

- .

: :
:

- : .

- :
.

: :
:

-2 : :
-

-5 : ( )5002
()5022 ()44
:

( )5022-5020-5007-5004-5009-5002-5002
.

: :

- :

_ :

: :

2 :

-a : .

-b : .
133

//

-c : .

-d : .
-5 :

Views 5.1 )-E : ) :

-2 ( : ) T .
-5 ( ) ( ) :
. ( )

-3 ( : ) F .

: :

-2 :

Pilbeam , 2010 : 260

( )7 : 5002

-2 :

:
() :

()
( (136 : 2006

() : ()Anne ,1984 :18

()

()Salvatore , 1996 : 143

134

//

: _ :

-2 :
.

- :

) Delbert,1967:291) (Jcorbough ,2002:492 ) :

-1 .
-2 .

-3 .
-4 .
-5 .

- :

( ) )Carbough,2002:494( :

-1 .

-2 .
-3 .
-4 .
-5 .

- :

( )37 : 2005

-2 :

() :

( )51 : 2007

135

//

() :

).(Pugel&Lindert,2000:409

() :

( . )21 :2010

: :

-2 :
.

() :

() Prissert , et.al ,1992 :305

() : :

-2 :

( . : 5022

)22-20

-2 :

( )22 : 5020

136

//

-5 :

.
:

)) :

Pilbeam (.

), 1998 : 137

( Shapiro ,

)2003 : 117

() :

)Eun & Resnick , 2007 :155( :

()2 .

()5 .
)Arnold ,2012 : 511( :

: .

: .

-2

( )
) . (Wild,et.al,2001:294

) (Anne,1984:18

(. )Solnik,2000:176

137

//

-5 :

-
.

( )222-222 : 5025 :

-

( )252 : 5020

-
( )244 : 5004

-
( )22 : 5020

-
( :

)222-222 : 5025

( .)252 : 5020

: :

: .

138

//

( )94-93 : 5004
: :

( :

)42-40: 5009

- .

-
.

-
.

: :

( . )92 : 5004 :

( . )22 : 5004

139

//

( )522 : 2779
: :

- ( : )43-45 : 5009

-2 :

-5 :

. ()
.
.

-3 :

.

- ( : )37-34 : 5004
- :


.

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( )

.
: :

.
. :

- :
.

140

//

. .

( )4 : 5004

- :
( )97 : 5004

-2 :
.

-5 : .
-3 :
.

- :

( .)524 : 2772

) ( E Views 5.1

:
-2 ). (EX

-5 ( ) )5022 - 5002 (

()44
( )

141

//

: :

: :

) 272: 5022
.

( : ) 230 : 5022

)2(...................Xt =a1Xt-1 + Bj Xt-j + et

)5(...............Xt =a0+ a1Xt-1 + Bj Xt-j + et

)3(.................Xt =a0+a2t + a1Xt-1 + Bj Xt-j + et

: et

( - ) :

Ho : a =0

H1 : a > 0
:

(T (

(T

. ( H ()2

)29 : 5025

142

//

(.) 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.

143

//

: Co- integration testing :

( ) 245: 5025
2742

. )Engle ,Granger ,1987:251-276 ( 2749

()Juselius & Johansen ,1990 ,169

)Johansen ,1991 :1551 ( :

: :

( (r )r=n(r :

))4(....................trace (r) = -T =+ (1-^r+1

:

:T

: : Max

) n=r) r ( )n=r+1
:

))2(................................max (r,r+1) = -T In (1-^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

145

//

( ( :)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 :

147

//

( ) 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

//

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

))likelihood( ,)Schwarz(, (Akaike

( )

. ( )4

( (AIC ( )954224 ( (Likellhood

( )542572- )(-0525

(. )Schwarz

( ) 4
( ) :

( )2597

( )-2504

( )0559

( )05043 ( )05040

( )-0525

149

//

) ( ( )0577 ()0577

. ( ) ( )0577

) (t

) ( F ) )F ))2196.948

( )

.
.

( )0523
( )- 0529

( )-0502

( )25003 ( )0523

( )-0534

. ( ( )0549

( )0549

( )
( )0542 )( F( (. )49502

150

//

( )

( )

-2-: .

-5

-3

-4

( ....)

-2

-2

-9

-4

-7

-20 .

151

//

:

:

-2

-5
.
-3

-4

-2

-2

-9
.

152

//

-4

- .
-7

.

-20 (

-22

:
:

-2

.
-2

-3

.
153

//

-4

.
-5

-6

-7

-8

-7
.
-20

-22

154

//

: :
-

-2 " "
5020

-5 " "

2775

-3 " " 5004

-4 " " 5004

-2 " "
2772

- ( ) :

-2 " "- 5007-2770

5020

-9 " "
5002

-4 "
( )5002-2774 ( ) 5004

-7 "

(1982 -2002)

5009

-20 " "

5022

-22 "
( )5022-2740 5025

-25 " "

5020

- :

-23 " "

54 2 . 2779

-24 " : "

59 .5004

155

//

-22 " :
" 5020 22

-22 "
" 30 4 5025

-29 "
" 47 30
5004

-24 "
" 5004-2790 2

5025

-27 "
-

5004

-50 " :
" 29

5022 23

-52 "

" 59

5022 3

- :

-55 " "

5009

: :
A-BOOKS
23-Arnold , Glen , MODERN FINANCIAL MARKETS AND INSTITUTIONS APRACTICAL PER
SPECTIVE , 1th Ed ,Pearson, 2012

24-Carbaugh . Robert J. , GLOBAL ECONOMICS ,13 th Ed ,South Western , C engage

Learning ,2000

25-Delbert A. Snider, INTRODUCTION TO INTERNATIONAL ECONOMICS, Fourth Edition,

U.S.A., 1967.

26-Eun , cheols & Bruce, Resnick G., INTERNATIONAL FINANCIAL

MANAGEMENT,4thed,McGraw-Hill Irwin,2007.

27- Jcorbough , Rebert, INTERNATIONAL ECONOMICS ,eight edition, Central Washington , 2002.
28-Pilbeam , Keith, INTERNATIONAL FINANCE, 6th ed., U.K.: Palgrave Inc, 1998.

156


//

29-Pilbeam,Keith,FINANCEANDFINANCIALMARKETS,3 th ed , Palgrave Macmillan,2010..

30-pugel ,Thomas , A.,& Lendert ,peter ,H., INTERNATIONAL ECONOMICS 11 th Ed, McGraw-Hill
Irwin ,2000

31-Salvatore , ph.D. Dominick , INTERNATIONAL ECONOMICS ,4 th Ed , Schaums Outline

Series , The McGraw-Hill Companies , INC , 1996.

32-Solnik , Bruno ,INTERNATIONAL INVESTMENT ,4th Ed , Addison Wesley Longman , Inc .,

2000.

B-Searches
33-Anne, Krueger ,EXCHANGE RATE DETERMINATION , London Cambridge University press
,1984

34-Engle ,R. F , and Granger , C.W.CO-INTEGRATION AND ERROR-CORRECTION

REPRESENTATION ,ESTIMATION AND TESTING Econometrics ,55.2,USA ,1987

35-Johansen S. ESTIMATION and hypothesis testing of co integration vectors in Gaussian vector

autoregressive models ,econometric ,1991

36-P. Prissert et A Piquemal , STRATEGIE et ECONOMIE DES ECHANGES INTERNATIONAUX , Ed

Economical , 1992

37-Saetlozar T.Rachev and etal , FINANCIAL ECONOMETRICS ,SECOND ED ,JOHN , WILEY

&sons ,new ,jersey ,2007
C-periodicals

38-Johansen S. Juselius , K. Maximum LIKELHOOD ESTIMATION AND INTERFERENCE ON CO

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