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:: Volume 22, Issue 71 (Quarterly Journal of Economic Research and Policies 2014) ::
qjerp 2014, 22(71): 53-78 Back to browse issues page
The Impact of Monetary Policy on Exchange Market Pressure: The Case of Iran
Mahmoud Baghjari * , Ebrahim Hoseininasab
Tarbiat Modares University , baghjari2002@gmail.com
Abstract:   (7625 Views)
Exchange market pressure is an important subject which could be applied in different areas. For example it could be used in investigating and analyzing monetary policy. In this paper along with presenting exchange pressure index, we review how monetary authorities of Iran reflected against to EMP during the first quarter of 1368 to fourth quarter of 1391. In order to explain the theory, the Girton and Rober monetary model and in order to estimate the model, Structural Vector Auto Regressive approach (SVAR) have been used. The results indicate that traditional theory of EMP is also applied to Iran. This means that the implementation of monetary expansion policy leads to increasing exchange market pressure. They also show that the effect of variable of money multiplier coefficient on the EMP is positive and the effect of variables of domestic product and the oil price on EMP is negative. The results of decomposition of variance of EMP indicate that in the first period about 95% of changes in this variable are explained by itself. As time passes and during tenth period, the explanatory power of the variable is somewhat reduced so that in the tenth period, about 79% of EMP changes is explained by the variable. Among other variables, the money multiplier coefficient has the most explanatory power which is about 10%. The other variables explanatory powers are as follows: national income 6.7% domestic credit 3.38% and finally oil price 1.61%.
Keywords: Currency Crisis, Monetary Policy, Exchange Market Pressure, Structural Vector Autoregressive.
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Type of Study: Research | Subject: Special
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Baghjari M, Hoseininasab E. The Impact of Monetary Policy on Exchange Market Pressure: The Case of Iran . qjerp 2014; 22 (71) :53-78
URL: http://qjerp.ir/article-1-827-en.html


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Volume 22, Issue 71 (Quarterly Journal of Economic Research and Policies 2014) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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