Forecasting of Iran’ s Official Exchange Rate Using the Autoregressive ARIMA Intervention Model

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Shahhosseini Somayeh; REZAEI ALI

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Journal: Journal of New Economy and Trade Year:2019 | Volume:13 | Issue:4 Page(s): 131-158

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Title

Forecasting of Iran’ s Official Exchange Rate Using the Autoregressive ARIMA Intervention Model

Author(s)

Shahhosseini Somayeh | REZAEI ALI | Issue Writer Certificate

Keywords

Official Exchange RateQ1

Exchange Rate ForecastingQ2

Random Walk ModelQ1

Auto-Regressive ARIMA ModelQ1

Intervention Operating JEL Classification:F31Q1

F37Q1

C14Q1

C15Q1

C53Q1

Abstract

The exchange rate is one of the most important economics’ variables which could impact the foreign trade and balance of payments and other macroeconomic variables such as GDP, inflation, and employment. Given the dependency of Iranian economy on foreign exchange and its high volatility over the past thirty-five years, forecasting the exchange rates and their volatility help reduce the risk in business and government plans. In this paper, we model the Iran’ s Official Exchange Rate using the autoregressive ARIMA intervention approach and compare its results with the Random Walk Model. We use the Official Exchange Rates data from 1357 to 1394 to estimate the models and forecast for the period 1395 to 1404 using R. The results show that the ARIMA model with intervention performs better than the Random Walk Model.

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APA: Copy

Shahhosseini, Somayeh, & REZAEI, ALI. (2019). Forecasting of Iran’ s Official Exchange Rate Using the Autoregressive ARIMA Intervention Model. JOURNAL OF NEW ECONOMY & COMMERCE, 13(4 ), 131-158. SID. https://sid.ir/paper/382142/en

Vancouver: Copy

Shahhosseini Somayeh, REZAEI ALI. Forecasting of Iran’ s Official Exchange Rate Using the Autoregressive ARIMA Intervention Model. JOURNAL OF NEW ECONOMY & COMMERCE[Internet]. 2019;13(4 ):131-158. Available from: https://sid.ir/paper/382142/en

IEEE: Copy

Somayeh Shahhosseini, and ALI REZAEI, “Forecasting of Iran’ s Official Exchange Rate Using the Autoregressive ARIMA Intervention Model,” JOURNAL OF NEW ECONOMY & COMMERCE, vol. 13, no. 4 , pp. 131–158, 2019, [Online]. Available: https://sid.ir/paper/382142/en

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