long-run movements of the parallel market premium inthe pre-exchange rate unification period in iran
نویسنده: yavari، kazem؛
بهار 1382 - شماره 8 ISC (18 صفحه - از 99 تا 116)
کلید واژه های ماشینی : Iran، Parallel Exchange Rates Developing Countries، Black Markets Exchange Developing Countries، Foreign Exchange Policy Black Market، Black Market Exchange Rates، The Iranian Foreign Exchange Policy، Exchange Rate، Rial، Dollar Official Rate Rls، Black Market Foreign Exchange
The purpose of this paper is to explain the causes of long-run movements in the parallel market premium in the pre-and-post revolution Iranian economy. The paper suggests that the premium is affected by both real and monetary shocks. Non-spurious co-integration results indicate that negative oil revenue shocks and a revolution-induced exogenous capital outflow caused the parallel market parallel market premium to increase rapidly after the revolution. In addition, it has been shown that the excessive inflation tax created by post-revolution government decreased continuously the return to holding domestic currency and the premium increased as a result of continuous adjustments in private portfolio balances. The paper concludes that the premium cannot be controlled unless government controls money supply and reduces oil dependency of the economy.
خلاصه ماشینی: "In addition, it has been shown that the excessive inflation tax created by post-revolution government decreased continuously the return to holding domestic currency and the premium increased as a result of continuous adjustments in private portfolio balances. Private capital transactions through the official market are usually ignored, so that the reported current account balance is equal to the change in central-bank reserves, which, together with an exogenously determined rate of growth of domestic credit, determine the change in the stock of foreign currency held in private agents’ portfolios. A positive shock to terms of trade, for example, will affect both supply of and demand for foreign currency in the parallel market and consequently the premium. Instead of modeling explicitly on the determinants, we try to find an equilibrium relationship between the parallel market premium and some relevant endogenous variables which can adequately capture the effect of movements in both real and nominal factors. Accordingly, instead of looking closely at the exogenous determinant of the PMP, we tried to find an equilibrium relationship, if any, between the parallel market premium and some other relevant endogenous variables which can adequately reflect the movements in the real and monetary shocks to the economy. The first coefficient is negative and shows that if at any time the parallel market spread increases and moves away from its equilibrium relationship with the RER and price level, then the system corrects itself through decreasing the PMP. In addition to an expectation effect, negative shocks to oil revenue reduced government ability to inject official dollars to the parallel market and as a result increased the premium."
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