نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد
2 دانشیار اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
The stability of the exchange rate and the foreign exchange market has a special role for Iran's economy from various aspects. This is because exchange rate fluctuations have wide-ranging impacts on both the domestic and foreign sectors of the country's economy, and they also increase the likelihood of various types of economic crises in the country's economic environment. In this context, the present study focuses on identifying the most important variables affecting exchange rate behavior using seasonal data during the period of 1997-2022. In this regard, this study is focused on identifying the most important variables affecting the behavior of the exchange rate volatility. To achieve this goal, the index of exchange rate volatility has been extracted using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Then, considering the extensive changes and transformations that have been occurred in the internal and external situation of the country's economy, the necessity of using dynamic models with variable regression coefficients has been emphasized. Thus, the most important factors affecting the behavior of this economic variable have been identified in the framework of the Time-Varying Parameter Dynamic Model Averaging (TVP-DMA). Findings of this research indicate that the highest amount of exchange rate fluctuations occurred by the end of 2013, in which the variables of the past amount of exchange rate fluctuations, government budget deficit, inflation, economic sanctions, liquidity, uncertainty of economic policy and the expected inflation of pepoles has played a key role in the behavioral changes of the exchange rate, respectively.
کلیدواژهها [English]
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