Nonlinear Analysis of Exchange Market Pressure Behavior in Iran: Self-Exciting Threshold Autoregressive Approach (in Persian)

Elham Amrollahi (), Yhya Abtahi () and Tahereh Aliheidari Bioki ()
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Elham Amrollahi: Iran
Yhya Abtahi: Iran
Tahereh Aliheidari Bioki: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2018, vol. 11, issue 37, 413-436

Abstract: Market pressure is defined as a monetary problem caused by the excess demand or national currency supply and obliges monetary policymakers to use monetary devices to mitigate the disorders resulted from the fluctuations of national currency value. The present study aims to investigate the behavior of exchange market pressure (EMP)index in Iran’s economy in the period 1990-4 to 2017-6 using three-regime Self-Exciting Threshold Auto-Regressive model (SETAR). With regard to the nonlinear nature of this index, the results indicate that the low regime of exchange market pressure includes a lower percentage of the observations in the period as compared to the higher regime. It can be concluded that the exchange market pressure has asymmetric behavior in Iran. On the other hand, the beginning of high exchange market pressure in the present decade and its repetition in these years suggests that Iran’s economy has entered the high regime of exchange market pressure. In other words, the recent changes in Iran’s economy, namely the sharp decrease of national currency value and high exchange market pressure, were predictable.

JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:11:y:2018:i:37:p:413-436

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