| تعداد نشریات | 24 |
| تعداد شمارهها | 881 |
| تعداد مقالات | 7,867 |
| تعداد مشاهده مقاله | 14,699,810 |
| تعداد دریافت فایل اصل مقاله | 12,550,017 |
The Dynamics of Exchange Market Pressure and Inflation in Iran: Regime Switching Approach | ||
| Iranian Journal of Economic Studies | ||
| مقاله 11، دوره 8، شماره 1 - شماره پیاپی 15، شهریور 2019، صفحه 185-206 اصل مقاله (355.3 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2019.34098.1585 | ||
| نویسندگان | ||
| Sayed Yahya Abtahi* 1؛ Elham Amrollahi Bioki2 | ||
| 1Accounting and economic dep. islamic azad university, yazd.iran | ||
| 2Department of Economic , Science and Research branch, Islamic Azad University, Tehran, Iran | ||
| چکیده | ||
| This study was an attempt to analyze the dynamic reaction of the exchange market pressure (EMP) to different states of the foreign exchange market and inflation in the Iranian economy during 1988:4-2017:4. To this end, the EMP index was calculated using Edwards’s (2002) and Kumah’s (2007) formulae. By considering inflation as the threshold variable and using Threshold Vector Autoregressive (TVAR) model, the results showed that lagged variables had no significant effects on EMP in a low inflation regime, but inflation had significant effects on EMP in a high inflation regime. The results of using the Markov Switching Vector Autoregressive (MS-VAR) model showed that in EMP and INF equations, the autoregressive coefficients in all lags and in both regimes were significant; this emphasizes the stability of the estimated VAR model. Based on the results of the MS-VAR equations, the results of the Granger Causality Test showed that when the EMP switched to a high regime, the inflation would have a significant impact on the EMP, but in the regimes where the EMP was at a low level, the inflation was not the cause of the EMP. EMP in low inflation regimes could also affect inflation while EMP was not the cause of inflation in high inflation regimes. Therefore, the policymakers should note that increasing EMP, even in low inflation regimes, can lead to pressure on prices. On the other hand, an increase in the foreign reserves causes the EMP to switch to a high regime; then, the inflationary pressures at any level of the inflation rate can exacerbate the exchange market pressure, and policymakers would be unable to control the currency market. Thus, if the EMP is controlled, the effects of inflation on the EMP will be discontinued, and this is a key point for policymakers. | ||
| کلیدواژهها | ||
| Exchange Market Pressure؛ Inflationary Dynamics؛ Markov Switching Vector Autoregressive Model؛ Monetary Policy؛ Threshold Vector Autoregressive Model؛ Iran | ||
| مراجع | ||
|
References
Baghjari, M., Hoseininasab,E., & Najarzadeh, R. (2014). The impact of monetary policy on exchange market pressure: The Case of Iran, Journal of Economic Research and Policies 53-78. Bird, G.,& Mandilaras, A. (2006). Regional Heterogeneity in the Relationship between Fiscal Imbalances and Foreign Exchange Market Pressure, Journal of World Development 34(7): 1171-1181. Chan, K. S., (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model, The Annals of Statistics, 21, 520-533. De Macedo, J., Pereira, L.,& Reis, A. (2009). Comparing Exchange Market Pressure across Five African Countries, Journal of Open Economy Review, 20: 645-682. Dempster, A. P., Laird, N. M.,& Rubin, D. B. (1977). Maximum Likelihood from Incomplete Data via the EM Algorithm, Journal of the Royal Statistical Society, Series B, 39, 1-38. Edwards, S. (2002). Does the Current Account Matter?, National Bureau of Economic Research 21-76. Eichengreen, B. J., Rose, A.K.,& Wyplosz, C. (1994). Speculative Attacks on Pegged Exchange Rates: an Empirical Exploration with Special Reference to the European Monetary System, NBER Working Paper. No. 4898. Eichengreen, B. J., Rose, A. K.,& Wyplosz, C. (1995). Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks, Economic Policy, 10 (21): 249-312. Enders,W. (2010). Applied Economic Time Series, 3end Edition. Fiadora, V., & Biekpe, N. (2015). Monetary policy and exchange market pressure evidence from sub-Saharan Africa, Applied Economics, 47:3921-3937. Franco, F., Delgado, J., Monteiro, S.,& Silva, P. (2014). Exchange Rate Pressure in Angola, Nova Africa Center for Business and Economic Development Working Paper Series, N0. 1502. Gallant, A., Ronald, P.,& Tauchen,G. (1993). Nonlinear Dynamic Structures. Econometrica, 61 (4):871–907. Gilal, M. A. (2011). Exchange Market Pressure and Monetary Policy: A Case Study of Pakistan, University of Glasgow. Gilal, M. A.,& Byrne, J. P. (2015). Foreign Exchange Market Pressure and Capital Controls, International Financial Markets Institutions and Money, 37: 42-53. Gilal, M. A.,& Chandio, R. A. (2013). Exchange Market Pressure and Intervention Index for Pakistan: Evidence from a Time-Varying Parameter Approach, GSTF Journal on Business Review (GBR), 2(4). Girton, L. D., & Roper, E. (1977). A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience, American Economic Review, 67(4): 537-548. Gochoco-Bautista, M., & Bautista, C. (2005). Monetary Policy & Exchange Market Pressure: The Case of the Philippines, Journal of Macroeconomics, 27(3): 153-168. Guidolin, M. (2012). Modelling, estimating and forecasting financial data under regime (Markov) switching, Working paper, Bocconi University. Hadian, E., Owjimehr, S. (2014). Investigating the behavior of EMP index in Iran's economy using an autoregressive pattern with smooth transition (STAR), Quarterly Journal of Applied Economics Studies in Iran (AESI), (10):247-266. Hamilton, J. D. (1990). Analysis of time series subject to changes in regime, Journal of econometrics, 45, 39-70. Hansen, B. (1999). Testing for Linearity. Journal of Economic Surveys, 13: 551-576. Hansen, B. E. (2000). Sample splitting and threshold estimation, Econometrica, 68, 575-603. Keenan, D. M. (1985). A Tukey non-additivity-type test for time series nonlinearity, Biometrika, 72: 39–44. Kemme, D. M., Lyakir, G. (2011). From Peg to Float: Exchange Market Pressure and Monetary Policy Pressure in the Czech Republic, Review of International Economics, 19(1): 93-108. Khiabani, N., Ghaljei, N. (2014). Exchange Regimes and Exchange Market Pressure in a Petroleum-Exporting Economy (Iran's case), Quarterly Journal of Applied Economics Studies in Iran (AESI), (3): 3-22. Klassen, F., Jager, H. (2011). Definition-consistent measurement of exchange market pressure, Journal of International Money and Finance, 30: 74 - 95. Koop, G. (1995). Parameter uncertainty and impulse response analysis, Journal of Econometrics, 72:135-149 Koop, G., Pesaran, M. H., Potter, S. M. (1996), Impulse response analysis in nonlinear multivariate models, Journal of Econometrics, 74:119-47. Krolzig, H .M. (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Applications to Business Cycle Analysis (Lecture Notes in Economics and Mathematical Systems), Berlin, Germany: Springer Verlag, vol. 454. Kumah, A.Y. (2007). A Markov-Switching Approach to Measuring Exchange Market Pressure, International Journal of Finance and Economics, 16: 114-130. Lestano, (2010). A Structural VAR Model of Exchange Rate Market Pressure: The Case of Indonesia, Majalah Ekonomi, 20(1). Lo, M. C.,& Zivot, E. (2001). Threshold Cointegration and Nonlinear Adjustment to the Law of One Price, Macroeconomic Dynamics, 5: 533-76. Pandy, A. (2012). Impact of Monetary Policy on Exchange Market Pressure: The Case of Nepal, Journal of Asian Economics, 37:59-71. Roper, D. E., Turnovsky, S. J. (1980). Optimal Exchange Market Intervention in a Simple Stochastic Macro Model, Canadian Journal of Economics, 13(2): 296-309. Tong, H. (1983). Threshold models in non-linear time series analysis. Lecture notes in statistics, No. 21. Tsay, R.S. (1986). Nonlinearity test for time series, Biometrika, 73:461–466. Tsay, R. S. (1998). Testing and modeling multivariate threshold models, Journal of American Statistical Association, 93:1188-1202. Turnovsky, S. J. (1985). Optimal Exchange Market Intervention: Two Alternative Classes of Rules", In: Bhandari, J.S.(ed) Exchange Rate Management Under Uncertainty, Cambridge: MIT Press. Weymark, D. N. (1995). Estimating Exchange Market Pressure & the Degree of Exchange Market Intervention for Canada, Journal of International Economics, 39(3-4): 273-295. Weymark, D. N. (1997a). Measuring the Degree of Exchange Market Intervention in a Small Open Economym, Journal of International Money and Finance, 16(1):55-79. Weymark, D. N. (1997b). Measuring Exchange Market Pressure and Intervention in Interdependent Economy:A Two-Country Model, Review of International Economics, 5(1):72-82. Weymark, D. N. (1998). A General Approach to Measuring Exchange Market Pressure, Oxford Economic Papers, 50(1): 106-121. Ziaei, S. M. (2012). Evaluating the Market Exchange Rate Pressure in Inflation Condition (An Empirical Evidence of Iran), Journal of Basic and Applied Scientific Research, 3(11):304-309
| ||
|
آمار تعداد مشاهده مقاله: 708 تعداد دریافت فایل اصل مقاله: 597 |
||