INVESTIGATING THE BEHAVIOR OF FOREIGN EXCHANGE MARKET PRESSURE INDEX IN IRAN: USING A SMOOTH TRANSITION AUTOREGRESSIVE MODEL (STAR)

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HADIAN E.; OJI MEHR S.

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Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2014 | Volume:3 | Issue:10 Page(s): 247-266

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Title

INVESTIGATING THE BEHAVIOR OF FOREIGN EXCHANGE MARKET PRESSURE INDEX IN IRAN: USING A SMOOTH TRANSITION AUTOREGRESSIVE MODEL (STAR)

Author(s)

HADIAN E. | OJI MEHR S. | Issue Writer Certificate

Keywords

EXCHANGE MARKET PRESSUREQ1

STAR MODELQ2

Abstract

The main purpose of this paper is to investigate the behavior of the foreign EXCHANGE MARKET PRESSURE index (EMP) in the context of the Iranian economy; To do so, in first, EMP index has been calculated by employing a Model- Independent approach; The result of this step shows that EMP index has a nonlinear nature and foreign exchange market is faced a non smooth condition by forces of appreciation and depreciation pressure; Such a result makes clear that the EXCHANGE MARKET PRESSURE should be analysed in a non-linear model; On the basis of this result, then we use the smooth transition autoregressive model (STAR) to investigate the foreign EXCHANGE MARKET PRESSURE index behavior; The final results indicate that during the depreciation pressure regime, changes in money and inflation have a positive and significant effect on the EMP and during the appreciation pressure regime, inflation has a negative and significant coefficient.

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APA: Copy

HADIAN, E., & OJI MEHR, S.. (2014). INVESTIGATING THE BEHAVIOR OF FOREIGN EXCHANGE MARKET PRESSURE INDEX IN IRAN: USING A SMOOTH TRANSITION AUTOREGRESSIVE MODEL (STAR). JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 3(10), 247-266. SID. https://sid.ir/paper/226430/en

Vancouver: Copy

HADIAN E., OJI MEHR S.. INVESTIGATING THE BEHAVIOR OF FOREIGN EXCHANGE MARKET PRESSURE INDEX IN IRAN: USING A SMOOTH TRANSITION AUTOREGRESSIVE MODEL (STAR). JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2014;3(10):247-266. Available from: https://sid.ir/paper/226430/en

IEEE: Copy

E. HADIAN, and S. OJI MEHR, “INVESTIGATING THE BEHAVIOR OF FOREIGN EXCHANGE MARKET PRESSURE INDEX IN IRAN: USING A SMOOTH TRANSITION AUTOREGRESSIVE MODEL (STAR),” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 3, no. 10, pp. 247–266, 2014, [Online]. Available: https://sid.ir/paper/226430/en

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