The Effect of Financial Market Variables and Macroeconomic Variables on Exchange Rate Returns of Iran and major trading partners (1990 to 2015)

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Najarzade Reza; AGHELI LOTFALI; Khorasani Elham

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Journal Paper

Paper Information

Journal: Journal of Economic Modelling Year:2019 | Volume:13 | Issue:3 (47) Page(s): 55-76

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Information Journal Paper

Title

The Effect of Financial Market Variables and Macroeconomic Variables on Exchange Rate Returns of Iran and major trading partners (1990 to 2015)

Author(s)

Najarzade Reza | AGHELI LOTFALI | Khorasani Elham | Issue Writer Certificate

Keywords

Jel Classification:E31Q1

G15Q1

F31 keywords:Exchange RateQ1

Asset PriceQ1

InflationQ2

budget DeficitQ2

General Method of Moments (GMM)Q1

Abstract

The aim of this study is to evaluate the impact of financial and fundamental variables on exchange rate fluctuations for Iran and 11 countries of her major trading partners during 1990-2015 with General Method of Moments (GMM) approaach. The overall results suggest that stock index differentials, the interest rates differentials, net capital inflows, net bond inflows, budget Deficit and the relative efficiency of non-tradable sector have a negative and significant impact on the exchange rate. However, the Inflation rate differentials and the relative efficiency of tradable sector have a positive effect. Inflation, deficit and the relative efficiency of tradable sector showed to have the greatest impact on the exchange rate returns. Therefore, it is recommended to reduce the role of the government through the transfer of activities to the nongovernmental sector and less government intervention in the economy to reduce the adverse effects of the budget Deficit on macroeconomic performance, to prevent a sharp increase in liquidity in the community, and to reduce the conversion of oil revenues to rials relative to Reducing inflation, and improving efficiency index, especially that of tradable sector to preserve the value of the national currency is helpful.

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APA: Copy

Najarzade, Reza, AGHELI, LOTFALI, & Khorasani, Elham. (2019). The Effect of Financial Market Variables and Macroeconomic Variables on Exchange Rate Returns of Iran and major trading partners (1990 to 2015). ECONOMIC MODELLING, 13(3 (47) ), 55-76. SID. https://sid.ir/paper/391791/en

Vancouver: Copy

Najarzade Reza, AGHELI LOTFALI, Khorasani Elham. The Effect of Financial Market Variables and Macroeconomic Variables on Exchange Rate Returns of Iran and major trading partners (1990 to 2015). ECONOMIC MODELLING[Internet]. 2019;13(3 (47) ):55-76. Available from: https://sid.ir/paper/391791/en

IEEE: Copy

Reza Najarzade, LOTFALI AGHELI, and Elham Khorasani, “The Effect of Financial Market Variables and Macroeconomic Variables on Exchange Rate Returns of Iran and major trading partners (1990 to 2015),” ECONOMIC MODELLING, vol. 13, no. 3 (47) , pp. 55–76, 2019, [Online]. Available: https://sid.ir/paper/391791/en

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