چکیده:
the main purpose of this article is to analyze exchange rate behavior based on monetary fundamentals in the context of Iranian economy over the period 1990:2 to 2014:3. To do so, two monetary exchange rate models is investigated, the first by regarding interest rate differential as a monetary variable, and the second one regardless of interest rate differential as a monetary variable. Also, in both cases, effective factors on exchange rate regime shifting are examined in Time-Varying Transition Probabilities Markov Switching Model (TVTP MSM). The main results indicate that interest rate differential model is not suitable to explain exchange rate behavior in Iran. Furthermore, Markov Switching Time-Varying Transition Probabilities model in comparison with Markov Switching Fixed Transition Probabilities has a better performance in analyzing exchange rate behavior. In addition, changes in real oil price are a main determiner of probability of regime switching.
خلاصه ماشینی:
"In Iran, there are studies that have argued that the real price of oil affects the exchange rate (see Dargahi, 1999; Dargahi and Gachlou, 2002; Mirtahami, 2004; Rezaei and Molaei, 2005; Sabbagh Kermani and Shaghaghi Shahri, 2005; Hashempour, 2011; Asgharpoor et al.
145476 Table 3: Results of Monetary Model Considering IRD Using Markov Switching Model of FTP and TVTP Explanatory Variable Estimation with FTP-MSM Significant Estimation with TVTP-MSM Significant Expected Sign Intercept in Regime 1 Intercept in Regime 2 Logarithmic Change of the Money Supply in Regime 1 Logarithmic Change of the Money Supply in Regime 2 Logarithmic Change of Industrial Production Changes in Short- Run Interest Rate Changes in Long- Run Interest Rate Logarithmic Change of Real Global Oil Price Logarithm of SD in Regime 1 Logarithm of SD in Regime 2 Regime1 Coefficient 11.
7350 >0 Table 4: Results of Monetary Model Regardless of IRD Using Markov Switching Model of FTP and TVTP Logarithmic Change of the Money Supply in Regime 2 Logarithmic Change of Industrial Production Logarithmic Change of Real Global Oil Price Logarithm of SD in Regime 1 Logarithm of SD in Regime 2 Regime 1 Transition Regime -2.
065 Source: Authors compilation As can be seen, both intercept and logarithmic change of the money supply are not significant in the level of 5 percent that indicates not approving of monetary model of determining the exchange rate in the fixed exchange rate regime."