CURRENCY CRISIS AND ECONOMY OF IRAN: AN EARLY WARNING SYSTEM

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ERFANI A.R.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2007 | Volume:6 | Issue:4 Page(s): 47-66

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Title

CURRENCY CRISIS AND ECONOMY OF IRAN: AN EARLY WARNING SYSTEM

Author(s)

ERFANI A.R. | Issue Writer Certificate

Keywords

CURRENCY CRISISQ3

MARKOV-SWITCHING MODELQ1

EARLY WARNING SYSTEMQ3

IRANQ2

Abstract

Using the Markov-Switching method with quarterly 1388-2004 data, an EARLY WARNING SYSTEM for IRAN is estimated. Doing so, the speculative pressure index (SPI), i.e. the weighted average of market real exchange rate changes and foreign reserves changes, is used as dependent variable, on the other hand, the deviations of real exchange rate from equilibrium trend, growth rate of M2 over foreign assets, growth rate of real output, ratio of foreign assets to total assets, growth rate of bank deposits, growth rate of bank deposits over M2, and the claims of the Central Bank on the government over total claims of the Central Bank are considered as the explanatory variables. According to the estimated model the average of SPI has been about 0.8 percent during tranquil period (null state) and about 11 percent during crisis period (1 state). Volatility of SPI in tranquil period and crisis period has been 2 and 14 percent respectively. This shows that both the average and volatility of SPI are appropriate variables to distinguish between tranquil and crisis periods in IRAN. Our estimates show that if the IRANian economy is in tranquil state at time t, it will be in tranquil state at time t+1 with a probability of 0.73. And if it is in crisis at time t, it will return to tranquil state at time t+ 1 with a probability of 0.87.

Cites

AN ANALYSIS OF CENTRAL BANK INTERVENTION IN FOREIGN EXCHANGE MARKET USING THE MARKOV SWITCHING AND PROBIT MODELS

References

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APA: Copy

ERFANI, A.R.. (2007). CURRENCY CRISIS AND ECONOMY OF IRAN: AN EARLY WARNING SYSTEM. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 6(4), 47-66. SID. https://sid.ir/paper/86648/en

Vancouver: Copy

ERFANI A.R.. CURRENCY CRISIS AND ECONOMY OF IRAN: AN EARLY WARNING SYSTEM. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2007;6(4):47-66. Available from: https://sid.ir/paper/86648/en

IEEE: Copy

A.R. ERFANI, “CURRENCY CRISIS AND ECONOMY OF IRAN: AN EARLY WARNING SYSTEM,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 6, no. 4, pp. 47–66, 2007, [Online]. Available: https://sid.ir/paper/86648/en

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