Optimal Intervention in the Foreign Exchange Market: The Case of Iran

Document Type: Research Paper


1 Ph.D. Students in Shiraz Universityh

2 Professor of Economics in Shiraz University


In a managed floating exchange rate regime, one of the most important issues is the degree to which the monetary authorities intervene in the foreign exchange market.  The appropriate level of intervention in the foreign exchange market can be discussed in a framework which emphasizes the trade-off between changes in the country’s level of international reserves and minimizes the country’s real exchange rate misalignment.  In this paper we derived an optimal intervention rule for the period of post managed floating regime in Iran applying a dynamic programming approach. The derived rule indicates that, in the context of the Iranian economy, how the monetary authorities can manage the foreign exchange market with minimum possible cost.


Article Title [Persian]

میزان مداخله بهینه در بازار ارز: مورد ایران

Authors [Persian]

  • زهرا عزیزی 1
  • ابراهیم هادیان 2
1 دانشجوی دوره دکتری دانشگاه شیراز
Abstract [Persian]

یکی از مباحث مهم در سیستم نرخ ارز شناور مدیریت شده میزان مداخله بهینه مقامات پولی در بازار ارز است. به همین دلیل در این مقاله قاعده‌ای بهینه برای مداخله در بازار ارز در اقتصاد ایران ارائه می گردد. اهداف سیاستگذار از مداخله در بازار ارز به حداقل رساندن انحرافات نرخ ارز حقیقی از مسیر تعادلی آن همراه با کمترین حجم مداخله در بازار ارز می‌باشد. پس از محاسبه مقادیر انحرافات نرخ ارز حقیقی از سطح تعادلی، از روش برنامه ریزی پویا جهت استخراج قاعده بهینه برای مداخله در بازار ارز استفاده می‌شود. قاعده به دست آمده از حل مسأله بهینه یابی پویا، در واقع یک دستورالعمل برای تنظیم تغییر در ذخایر خارجی بانک مرکزی، با توجه به کمترین انحرافات نرخ ارز حقیقی و هزینه‌های ناشی از مداخله در بازار است.

Keywords [Persian]

  • مداخله در بازار ارز
  • مدیریت ذخایر خارجی
  • قاعده بهینه
  • برنامه‌ریزی پویا
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