s
robabeh khilkordi; Nezamuddin makiyan; habib ansarisamani
Abstract
Exchange rate volatility is very important because of its adverse effects on economic performance and especially economic stability. In this regard, the present study investigates the behavior of the most important macroeconomic variables on exchange rate fluctuations in Iran's economy based on the quarterly ...
Read More
Exchange rate volatility is very important because of its adverse effects on economic performance and especially economic stability. In this regard, the present study investigates the behavior of the most important macroeconomic variables on exchange rate fluctuations in Iran's economy based on the quarterly data of 1997-2022. For this purpose, first, to identify the most important variables affecting exchange rate fluctuations, the dynamic model averaging approach model with time-varying coefficients (TVP-DMA) was used, and in the next step, to examine the effects of the identified variables on the behavior of exchange rate fluctuations auto-explanatory vector model augmented with time-varying parameters (TVP-FAVAR) has been used. The results show that the variables of exchange rate volatility, budget deficit, inflation rate and economic sanctions are the most important variables affecting the behavior of the exchange rate in the Iranian economy during the period under review. At the same time, the type and intensity of the impulses of each of the economic variables in the occurrence of exchange rate fluctuations have been different over time, which makes it necessary to use econometric approaches with a dynamic nature in the matter of modeling the exchange rate fluctuations as accurately as possible and then predicting the range more accurately.
