جستجوی مقالات مرتبط با کلیدواژه « informal exchange rate » در نشریات گروه « اقتصاد »

In oil economies such as Iran, the exchange rate in the informal market is an important variable influenced by oil price variation. Accordingly, and considering the importance of oil and its price in the Iranian economy, this study seeks to evaluate the effect of the global oil price on the unofficial exchange rate (dollar) in an asymmetric shape alongside the inflation gap between Iran and the United States. For this purpose, model estimation was done using linear and nonlinear ARDL approaches and monthly data during a period from Jan., 1983 to December, 2017. The results indicate that, in the symmetric approach, oil price shocks have negative effects on the informal exchange rate just in a long run. According to the nonlinear approach, however, oil shocks have an asymmetrical effect on the informal exchange rate of Iran. The positive impacts of oil prices on the exchange rate in both the short and the long terms are significant, but the negative impacts are not significant on the exchange rate. Also, the inflation gap between Iran and the United States proved to have a significant effect on the exchange rate with both linear and nonlinear patterns and in the short and long runs.

The purpose of this paper is identifying speculative rational bubbles and applying early warning indices to illustrate these bubbles in USD/IRR informal exchange rate during volatile period of March 2011 to September 2018. The deviation of the exchange rate from fundamental values which is known as bubble may occur as a result of a speculative attack to the value of local currency which, if the authorities do not defend the value of the national currency, will lead to a currency crisis. Therefore, it is very important for policy-makers to correctly identify bubble periods to intervene timely in the foreign exchange market and to prevent deviation of exchange rate from its fundamental value. For this purpose, rational speculative bubbles modeling using Markov regime-switching model with time-varying probabilities including dormant, collapsing and explosive regimes with high ability in identifying the time of formation and collapsing of bubbles has been done. In our model, the sanction index and changes in foreign exchange reserves are early warning indicators. The sanction index is the cause of speculative demand in the informal foreign exchange market over the period covered by this study which, coupled with central bank interventions to reduce the pressure on the foreign exchange market, have been able to explain recent currency speculative bubbles. Our results confirm that rational speculative bubbles exist in USD/IRR informal exchange rate. Based on our results, time intervals identified as explosive regime are exactly contemporaneous with currency crisis periods. On the other hand, collapsing regimes tend to coincide with post-crisis periods. Dormant regimes identified in this study correspond to periods that the exchange rate return has a mild increasing trend. Comparing designed model to other specifications display sufficient robustness in the presented model.

The bubble of Asset Price is the deviation of the asset price from its fundamental value. Since the many of the financial crisis arise from bursting bubble of financial assets, the explore of bubble behaviors in these markets and the early detection for the prevention of adverse economic consequences is important. Considering the criticisms of conventional tests for detecting price bubbles and also the importance of the subject, in this study, we have considered the new methods proposed by Phillips, et al. (2011, 2012) based on Right-Tailed Augmented Dickey-Fuller (RTADF) tests. In this regard, in order to testing explosive behavior and multiple bubbles and determining bubble periods in Iranian informal exchange market, we have applied the tests of SADF and GSADF according to monthly data for the nominal exchange rate from 2002:04 to 2016:03. Since the explosive behavior in nominal exchange rate might be driven by the its fundamentals, to comment on the existence of rational bubbles in the exchange market, we have evaluated the ratio of the nominal exchange rate to the relative prices of tradable and non-tradable goods. Based on the obtained results, the Iranian foreign exchange market has been experienced explosive behavior and multiple bubbles in the period of under study. Moreover, the relative prices of traded goods explain some explosiveness in the Iranian exchange market. Our findings suggest that the explosive behavior in nominal exchange rate from 2008:10-2008:12, 2012:01-2012:03 and 2013:09-2013:11 was because of rational bubbles in exchange rate and in other periods was driven by the relative price of tradable goods. Therefore, it is suggested to control the sharp exchange rate movements, in addition to bubbles, fluctuations in prices of traded goods market require more attention. Also, due to the possibility of bubbles repetition, the GSADF test is the better test to detect bubbles.