[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Current Issue :: Search :: Submit ::
Main Menu
Home::
Journal Information::
Articles archive::
For Authors::
For Reviewers::
Registration::
Contact us::
Site Facilities::
::
:: Volume 26, Issue 85 (quartery journal of Economic Research and Policies 2018) ::
qjerp 2018, 26(85): 271-300 Back to browse issues page
Investigation of Coefficients Instability in the Foreign Exchange Interventions Reaction Function in Iran
Abstract:   (3787 Views)

In this paper, we estimate the reaction function of foreign exchange intervention in Iran, during 1381q2-1393q4. According to the existence of a non-linear relationship between variables, we used smooth transition regression model. The results of this investigation indicate that the monetary authority intervention in Iran is a function of the nominal exchange rate growth and its misalignment, the lag of central bank's foreign reserves growth and the growth of government oil revenues. According to the tests, the exchange rate growth is an appropriate transition variable in the estimation with the threshold of 10.31 present. Around this amount, the coefficients follow two different regime structures. The results also reflect the fact that monetary authorities in Iran have shown a greater response to the exchange rate growth after crossing the threshold.
 

Keywords: Foreign exchange market interventions, Exchange rate, Nonlinear model, Smooth transition regression
Full-Text [PDF 936 kb]   (941 Downloads)    
Type of Study: Research | Subject: Special
Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Investigation of Coefficients Instability in the Foreign Exchange Interventions Reaction Function in Iran. qjerp 2018; 26 (85) :271-300
URL: http://qjerp.ir/article-1-1727-en.html


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 26, Issue 85 (quartery journal of Economic Research and Policies 2018) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
Persian site map - English site map - Created in 0.05 seconds with 37 queries by YEKTAWEB 4642