| تعداد نشریات | 24 |
| تعداد شمارهها | 916 |
| تعداد مقالات | 8,202 |
| تعداد مشاهده مقاله | 15,918,427 |
| تعداد دریافت فایل اصل مقاله | 13,469,572 |
Optimal Intervention in the Foreign Exchange Market: The Case of Iran | ||
| Iranian Journal of Economic Studies | ||
| مقاله 1، دوره 1، شماره 2، اسفند 2012، صفحه 1-22 اصل مقاله (298.07 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2014.1559 | ||
| نویسندگان | ||
| Zahra Azizi* 1؛ Ebrahim Hadian2 | ||
| 1Ph.D. Students in Shiraz Universityh | ||
| 2Professor of Economics in Shiraz University | ||
| چکیده | ||
| In a managed floating exchange rate regime, one of the most important issues is the degree to which the monetary authorities intervene in the foreign exchange market. The appropriate level of intervention in the foreign exchange market can be discussed in a framework which emphasizes the trade-off between changes in the country’s level of international reserves and minimizes the country’s real exchange rate misalignment. In this paper we derived an optimal intervention rule for the period of post managed floating regime in Iran applying a dynamic programming approach. The derived rule indicates that, in the context of the Iranian economy, how the monetary authorities can manage the foreign exchange market with minimum possible cost. | ||
| کلیدواژهها | ||
| Foreign exchange market intervention؛ Foreign reserves management؛ Optimal rule؛ Dynamic programming | ||
| مراجع | ||
|
Almekinders, G. (1996). The political economy of Central Bank intervention. Public Choice, July, 127-146.
Bereau, B., Lopez, A., & Mignon, V. (2008). Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling, Working Papers 2008-23, CEPII research center.
Boyer, R. S. (1978). Optimal foreign exchange market intervention. The Journal of Political Economy, 86(6), 1045-1055.
Brainard, W. C. (1967). Uncertainty and the effectiveness of policy. American Economic Revenue Papers and Proceedings, 57, 411-25.
Cadenillas, A., & Zapatero, F. (1999). Optimal Central Bank Intervention in the foreign exchange market. Journal of Economic Theory, 87, 218- 242.
Calvo, G. A., & Rienhart, C. M. (2002). Fear of floating. The Quarterly Journal of Economics, 117(2), 379-408.
Dee, P. S. (1983). Optimal Exchange Market Intervention. (Ph.D. Thesis), Canada, Vancouver, Simon Fraser University.
Domac, I., Kyle, P. & Yevgeny, Y. (2001). Does the Exchange Rate Regime Affect Macroeconomic Performance? Evidence from Transition Economies. Policy Research Working Paper 26242.
Edwards, S. (1988). Real and Monetary Determinants of Real Exchange Rate Behavior: Theory and Evidence from Developing Countries. Journal of Development Economics, 29, 311-341,
Frenkel, J. (2003). Experience of and Lessons From Exchange Rate Regimes in Emerging Economies. NBER WP 10032.
Friedman, M. (1953). The Case for Flexible Exchange Rates. in Friedman M. Essays in Positive Economics, Chicago: University of Chicago Press, 157-203.
Galati, G., & Melick, W. (2002). Central Bank Intervention and Market Expectations. BIS Papers, 10.
Garcia, L. G. (2002). Trading Rule Profitability and Official Intervention in Foreign Exchange Markets of Emerging Economies. Ph.D. Thesis, College of Business and Economics at West Virginia University.
Hassan, M. M. (2009). Essays on Central Bank Interventions in Advanced and Emerging Market Economies an Application to Japan and Turkey. Ph.D. Thesis, United States The City University of New York.
Horvath, R. (2007). Modelling Central Bank Intervention Activity under Inflation Targeting. Economics Bulletin, 6(29), 1-8.
Im, J-H. (2001). Optimal Currency Target Zones: How Wide Should Exchange Rate Bands Be? International Economic Journal, 15(1), 61 – 93.
Ito, T. (2002). Is Foreign Exchange Intervention Effective? The Japanese Experiences in the 1990s. NBER Working Paper, No. 8914.
Kearny, C., & McDonald, R. (1986). Intervention and sterilization under Floating Exchange Rates: the UK 1973-1983. European Economic Review, 30, 345-364.
Kenen, P. (2000). Fixed Versus Floating Exchange Rates. Cato Journal, 20(1), 109-113.
Kercheval, A. N., & Moreno, J.F. (2009). Optimal Intervention in the Foreign Exchange Market When Interventions Affect Market Dynamics. Quantitative Finance Papers, No. 0909.1142.
Kim, S., & Sheen, J. (2002). The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia. Journal of International Money and Finance, 21(4), 619-649.
Kriljenko, J. I. C., Guimaraes, R., & Karacadag C. (2003). Official Intervention in Foreign Exchange Market: Element of Best Practice. IMF Working Paper, WP/03/152.
Miller M., & Zhang, L. (1996). Optimal Target Zones: How an Exchange Rate Mechanism Can Improve upon Discretion. Journal of Economic Dynamics and Control, 20, 1641-1660.
Moosa, I. A. (2005). Exchange Rate Regimes Fixed, Flexible or Something in Between, New York: Palgrave MacMillan.
Mundaca G., & Oksendal, B. (1998). Optimal Stochastic Intervention Control With Application to the Exchange Rate. Journal of Mathematical Economics, 29, 225-243.
Poirson, H. (2001). How Do Countries Choose Their Exchange Regime? IMF Working Paper, WP/01/46.
Pontines V., & Rajan, R. S. (2011). Foreign Exchange Market Intervention and Reserve Accumulation in Emerging Asia: Is There Evidence of Fear of Appreciation? Economics Letters , 111, 252–255.
Poole, W. (1970). Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model. Journal of Political Economy, 84, 197-216.
Reinhart, C. M., & Rogoff, K. S. (2004). The Modern History of Exchange Rate Arrangements: A Reinterpretation. The Quarterly Journal of Economics, 119(1), 1-48.
Sargent, T. L. (1987). Dynamic Macroeconomic Theory. Cambridge: Harvard University Press.
Sarno, L., & Taylor, M. )2001(. Official Intervention in the Foreign-Exchange Market: Is It Effective and, if So, How Does It Work? Journal of Economic Literature, 39, 839-868.
Sohman, E. (1969). Flexible Exchange rates: Theory and Controversy, Chicago: University of Chicago Press.
Tagaki, S. (1991). Foreign Exchange Market Intervention and Domestic Monetary Control in Japan, 1973-89. Japan and the World Economy, 147-180.
Taylor, D. (1982). Official Intervention in the Foreign Exchange Market, or, Bet Against the Central Bank. Journal of Political Economy, 90, 356-368.
Teräsvirta, T. (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of American Statistical Association, 89, 208-218.
Yannacopoulos, A. N. (2005). A Novel Approach to Exchange Rate Control Using Controlled Stochastic Differential Equations. Ekonomia, 8(1), 74-91. | ||
|
آمار تعداد مشاهده مقاله: 3,971 تعداد دریافت فایل اصل مقاله: 2,843 |
||