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:: year 11, Issue 37 (11-2018) ::
JMBR 2018, 11(37): 413-436 Back to browse issues page
Nonlinear Analysis of Exchange Market Pressure Behavior in Iran: Self-Exciting Threshold Autoregressive Approach
Elham Amrollahi, Yhya Abtahi *1, Tahereh Aliheidari Bioki
Abstract:   (2217 Views)

 Market pressure is defined as a monetary problem caused by the excess demand or national currency supply and obliges monetary policymakers to use monetary devices to mitigate the disorders resulted from the fluctuations of national currency value. The present study aims to investigate the behavior of exchange market pressure (EMP)index in Iran’s economy in the period 1990-4 to 2017-6 using three-regime Self-Exciting Threshold Auto-Regressive model (SETAR). With regard to the nonlinear nature of this index, the results indicate that the low regime of exchange market pressure includes a lower percentage of the observations in the period as compared to the higher regime. It can be concluded that the exchange market pressure has asymmetric behavior in Iran. On the other hand, the beginning of high exchange market pressure in the present decade and its repetition in these years suggests that Iran’s economy has entered the high regime of exchange market pressure. In other words, the recent changes in Iran’s economy, namely the sharp decrease of national currency value and high exchange market pressure, were predictable.

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Type of Study: Theoretical Article | Subject: Macroeconomics: Consumption, Saving, Production, Employment, and Investment (E2)
Received: 2017/04/7 | Accepted: 2018/11/28 | Published: 2019/01/13
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year 11, Issue 37 (11-2018) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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