Managed Floating Exchange Rate Regime and Policy Evaluation for Iran

Sohaili, Kiomars; Erfani, Alireza; Hayati, Yousef

doi:10.22099/ijes.2020.33990.1583

Document Type : Research Paper

Authors

¹ Department of Economics, , Razi University, Kermanshah, Iran.

² Department of Economics, ,Semnan University, Semnan, Iran.

https://doi.org/10.22099/ijes.2020.33990.1583

Abstract

Exchange rate fluctuations have a major role on business cycles. Due to this degree of importance, this paper analyzed the effects of managed floating exchange rate regime on dynamics of some macroeconomics variables of Iran. To do this, we design a dynamic stochastic general equilibrium (DSGE) model for Iran and then using quarterly data over 1989-2016 and Bayesian method, the structural parameters of the model have been estimated. By employing conditional forecasting, our results show that managed floating exchange rate regime, compared with fixed regime, brings more economic growth and at the same time, less speculative activities in money and exchange markets. Moreover, the results from variance decomposition reveal that exchange rate shocks are the most important shock in deriving business cycles and fluctuations of other variables. Based on these finding, we propose policymaker to choose managed floating exchange rate regime as its policy rule.

Keywords

Article Title [Persian]

رژیم نرخ ارز شناور مدیریت شده و ارزیابی سیاستی برای ایران

Authors [Persian]

کیومرث سهیلی ¹
علی رضا عرفانی ²
یوسف حیاتی ²

¹ گروه اقتصاد، دانشگاه رازی، کرمانشاه، ایران.

² گروه اقتصاد، دانشگاه سمنان، سمنان، ایران.

Abstract [Persian]

پویایی های نرخ ارز دارای یک نقش مهم در استخراج سیکل های تجاری کشورهای در حال توسعه است. به دلیل این درجه اهمیت، این مقاله اثرات رژیم نرخ ارز شناور مدیریت شده بر پویایی های برخی متغیرهای کلان ایران را بررسی می کند. بدین منظور، یک الگوی تعادل عمومی پویای تصادفی برای اقتصاد ایران طراحی و برآورد شده و سپس با استفاده از داده های فصلی دوره 1395 - 1368 و روش بیزین، پارامترهای ساختاری مدل برآورد شده است. با بکارگیری پیش بینی شرطی، نتایج مدل نشان می دهد که رژیم نرخ ارز شناور مدیریت شده، در مقایسه با رژیم نرخ ارز ثابت، رشد اقتصادی بیشتری به همراه دارد و همزمان، فعالیت های سوداگری کمتری در بازارهای ارز و پول به همراه دارد. همچنین، نتایج حاصل از تجزیه واریانس آشکار می کند که شوک های نرخ ارز مهمترین شوک در استخراح سیکل های تجاری و نوسان های سایر متغیرها است. بر اساس این یافته ها، پیشنهاد مطالعه به سیاست گذاران این است که رژیک نرخ ارز شناور مدیریت شده را به عنوان قاعده سیاستی خود انتخاب کنند.

Keywords [Persian]

رژیم نرخ ارز
مدلهای DSGE
ارزیابی سیاستی
پیش بینی شرطی

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Iranian Journal of Economic Studies

Managed Floating Exchange Rate Regime and Policy Evaluation for Iran

References

References

Volume 8, Issue 2
December 2019
Pages 441-462

Managed Floating Exchange Rate Regime and Policy Evaluation for Iran

References

References

Volume 8, Issue 2December 2019Pages 441-462

Volume 8, Issue 2
December 2019
Pages 441-462