Document Type : Quarterly Journal

Authors

• robabeh khilkordi ¹
• Nezamuddin makiyan ²
• habib ansarisamani ³

¹ yazd university

² , Faculty of Economics, Management and Accounting, yazd University,yazd, Iran

³ yazd University

Abstract

Currency 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 seasonal data of 1376-1401 with the help of the Auto-explanatory Vector Model Augmented with Time-varying Parameters (TVP-FAVAR). The results of the study of shock-reaction functions of the variables indicate that many exchange rate fluctuations are influenced by the behavior of some of the most important fundamental variables of the economy, including the budget deficit, inflation rate, liquidity and economic policy uncertainty. The more accurate modeling of exchange rate fluctuations and following that, predicting the range of exchange rate fluctuations in future periods requires that the relevant policy makers, while closely monitoring the behavior of the fundamental variables of the economy, adopt stability-creating policies to prevent extensive and unpredictable changes in the behavior of such variables

Keywords

• Exchange Rate Volatility
• Iranian Economy
• Auto-Explanatory Vector Model Augmented with Time-varying Parameters

Main Subjects

• s