Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran)
سال انتشار: 1397
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 127
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شناسه ملی سند علمی:
JR_IER-22-1_011
تاریخ نمایه سازی: 21 مهر 1402
چکیده مقاله:
The RER which is theoretically influenced by the real interest rate differential (RRE) and currency excess return (CER), is statistically examined during ۱۹۹۰-۲۰۱۶. Accordingly, the stationarity of RER as null hypothesis is not approved in the Iranian economy. Therefore, the TVAR method is examined to analyze the nonstationary RER sample to two sub-periods stationary process which are both statistically recognized trend stationary and mean reversion in the context of flexible and inflexible regimes. The impacts of the RRE and CER on the RER are examined by TVAR method. The results indicate that the expected value of RER significantly explains the real interest rate differential given the fact that the estimated parameters is approximately considered non-zero. Thus, the hypothesis of real interest rate parity (RRE) is rejected in both flexible and inflexible regimes in Iran. Eventually, future contracts should be introduced at the foreign exchange market to reduce risks and uncertainty.
کلیدواژه ها:
نویسندگان
Hossein Bastanzad
Economist in Money and Foreign Exchange Department, Monetary and Banking Research Institute of the Central Bank of Iran (MBRI) Tehran, Iran
Pedram Davoudi
Institute for management and planning studies (IMPS), Tehran, Iran
Hossein Tavakolian
Faculty of Economics, Allameh Tabataba&#۰۳۹;i University, Tehran, Iran