Exchange rate regimes and exchange market pressure in an oil-exporting economy (Case of Iran) (in Persian)

Nasser Khiabani and Samira Ghaljei ()
Additional contact information
Samira Ghaljei: Iran

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2014, vol. 19, issue 3, 3-22

Abstract: Recently instability in Iranian exchange market, particularly after imposing huge economic sanctions has generated a lot interest among economist and academicians to investigate driving force of this instability. This paper estimates a new nonlinear exchange market pressure for Iran’s economy using MSMH(2)-VAR(2) method. The empirical results identify the two episodes of exchange market pressure in the Iran and confirm the statistical superiority of the nonlinear regime-switching model over linear model versions in understanding exchange market pressure. Our findings indicate that staying in the depreciation episode is more persistent than staying in appreciate episode. Our results also show that the fluctuation in “Iranian oil Revenues has crucial role in determining exchange market pressure. Declining in the oil revenue is accomplished by a regime transition from appreciation to depreciation exchange rate pressures. In the contrast, a higher appreciation regime is characterized a higher increase in oil revenues and a higher decline in exchange rate changes.

Keywords: Exchange Market Pressure; Intervention by the central bank; The Markov Switching Approach; Regime-Dependent Impulse Response Function; Depreciation Pressure; Appreciation Pressure. (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://jpbud.ir/article-1-1203-en.pdf (application/pdf)
http://jpbud.ir/article-1-1203-en.html (text/html)
http://jpbud.ir/article-1-1203-fa.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:auv:jipbud:v:19:y:2014:i:3:p:3-22

Access Statistics for this article

More articles in The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه) from Institute for Management and Planning studies Contact information at EDIRC.
Bibliographic data for series maintained by Nahid Jebeli ( this e-mail address is bad, please contact ).