Volume 18, Issue 3 (9-2023)
J. Mon. Ec. 2023, 18(3): 285-305 |
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Taheri Reykandeh E, Darabi M. Time varying causality between official and unofficial exchange rates in Iran. J. Mon. Ec. 2023; 18 (3) : 1
URL: http://jme.mbri.ac.ir/article-1-665-en.html
URL: http://jme.mbri.ac.ir/article-1-665-en.html
1- University of Tehran, Faculty of Agricultural Economics and Development
2- University of Tehran, Faculty of Economics, Tehran, Iran
2- University of Tehran, Faculty of Economics, Tehran, Iran
Abstract: (232 Views)
The daily unofficial exchange rate is crucial role in economic agents' decision-making and expectations in Iran. Hence, policymakers have tried to manage the unofficial market by promoting the official exchange rates as a leading price. In this regard, they have established official platforms for foreign exchange transactions. This study investigates the causal relationship between exchange rates discovered on the platforms and unofficial exchange rates by employing the Hong time-varying causality test based on the DCC-MGARCH method. Empirical results show a unilateral causal effect between the unofficial and official exchange rates. The instantaneous causality test results show an instantaneous unilateral causality from unofficial to official exchange rate over the whole period. However, the reverse is only found for some special sub-periods, such as when the extent of sanctions decreases, and the possibility of the Central Bank's intervention increases.
Article number: 1
Type of Study: Original Research - Empirical |
Subject:
Economics
Received: 29 Jul 2024 | Accepted: 9 Oct 2024 | Published: 6 Nov 2024
Received: 29 Jul 2024 | Accepted: 9 Oct 2024 | Published: 6 Nov 2024
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