Volume 18, Issue 1 (3-2023)
J. Mon. Ec. 2023, 18(1): 95-110 |
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Qezelbash M, Hamooni A, Tajdini S, Arghavan D. Performance of the Iranian Currency Exchange Using Dynamic Conditional Correlation. J. Mon. Ec. 2023; 18 (1) : 5
URL: http://jme.mbri.ac.ir/article-1-620-en.html
URL: http://jme.mbri.ac.ir/article-1-620-en.html
1- Financial Engineering, Allameh Tabataba’i University, Tehran, Iran
2- Faculty of Economics, University of Tehran, Tehran, Iran.
3- Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran
2- Faculty of Economics, University of Tehran, Tehran, Iran.
3- Faculty of Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran
Abstract: (368 Views)
The aim of this study was to assess the performance of the Iranian currency exchange market by analyzing the dynamic conditional correlation (DCC) between the Iranian currency exchange rate and the free market exchange rate of the US dollar in Iran. This analysis was conducted for both the same day and with a one-day lag, spanning from June 20 to October 30, 2022. The results of the study indicate that the DCC for concurrent days (denoted as dcc0) stood at 48%. Meanwhile, the DCC for the Iranian currency exchange rate with a one-day delay compared to the free market US dollar exchange rate in Iran (referred to as dcc+1) was 17%, and the DCC for the free market US dollar exchange rate with a one-day lag behind the Iranian currency exchange rate (referred to as dcc-1) was 35%.
Article number: 5
Type of Study: Original Research - Case Study |
Subject:
Economics
Received: 25 Jan 2023 | Accepted: 26 Aug 2023 | Published: 29 Apr 2024
Received: 25 Jan 2023 | Accepted: 26 Aug 2023 | Published: 29 Apr 2024
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