This study examines the impact of interest rates and the gap between the NIMA exchange rate and the informal market rate on Iran’s capital market. Recent economic conditions, including imbalances, trade restrictions, and fiscal dominance, have led to asymmetric market behavior. Using a threshold regression model and daily data from October 22, 2020, to December 21, 2024, threshold values for both variables were calculated. Results show that the exchange rate gap at 78% divides the market into two regimes: when the gap exceeds this level, exchange rate growth, increased trading value, capital inflows, and the P/E ratio have significant positive effects on the overall index. However, under severe gaps, only exchange rate growth explains index returns. Likewise, the risk-free interest rate threshold was determined at 25.77%. When the rate is above this level, the informal exchange rate has the strongest explanatory power, while other factors have minimal impact. Conversely, when the rate is below the threshold, capital inflows, trading value, and market fundamentals alongside exchange rate growth all play meaningful roles in stimulating the market. Therefore, considering these thresholds in monetary policy and investment decisions is crucial.