Modeling of exchange rate fluctuations with systems dynamics approach

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DAMIRI MOHAMMAD HADI; SAEEDI PARVIZ; Didehkhani Hosein; ABBASI EBRAHIM

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:43 Page(s): 220-244

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Title

Modeling of exchange rate fluctuations with systems dynamics approach

Author(s)

DAMIRI MOHAMMAD HADI | SAEEDI PARVIZ | Didehkhani Hosein | ABBASI EBRAHIM | Issue Writer Certificate

Keywords

exchange rateQ2

System DynamicsQ2

ForecastQ2

TrendQ2

Abstract

The purpose of this research is Modeling of exchange rate fluctuations with systems dynamics approach. In this research, all the factors affecting the exchange rate have been identified and evaluated their systemic relationships. First, the Trend and the exchange rate price were predicted using the System Dynamics from 2004 to 2022, and the results were compared with the Trend and real exchange rate of the exchange rate. The results show that the exchange rate Trend over the 19-year period has always been with a slight upward slope, but during the years 2012-2013 and 2018-2017 there was a sharp rise in price and slope that is exactly the same as the real exchange rate Trend. Also, comparing the exchange rate data to the market price and the expected exchange rate until 2018 shows that this model has been able to accurately assess the Trend and predict possible failures. Key word: exchange rate, System Dynamics, Forecast, Trend.

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APA: Copy

DAMIRI, MOHAMMAD HADI, SAEEDI, PARVIZ, Didehkhani, Hosein, & ABBASI, EBRAHIM. (2020). Modeling of exchange rate fluctuations with systems dynamics approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(43 ), 220-244. SID. https://sid.ir/paper/406716/en

Vancouver: Copy

DAMIRI MOHAMMAD HADI, SAEEDI PARVIZ, Didehkhani Hosein, ABBASI EBRAHIM. Modeling of exchange rate fluctuations with systems dynamics approach. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(43 ):220-244. Available from: https://sid.ir/paper/406716/en

IEEE: Copy

MOHAMMAD HADI DAMIRI, PARVIZ SAEEDI, Hosein Didehkhani, and EBRAHIM ABBASI, “Modeling of exchange rate fluctuations with systems dynamics approach,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 43 , pp. 220–244, 2020, [Online]. Available: https://sid.ir/paper/406716/en

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