آیا نرخ ارز رسمی در ایران از نرخ ارز بازارهای موازی و سایه‌ تبعیت می‌کند؟

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه سمنان

2 دانشیار گروه اقتصاد، دانشکده اقتصاد، مدیریت و علوم اداری، دانشگاه سمنان

3 استاد گروه اقتصاد، دانشکده اقتصاد، مدیریت و علوم اداری، دانشگاه سمنان

4 دانشیار گروه اقتصاد پژوهش، پژوهشکده اقتصاد، دانشگاه تربیت مدرس

چکیده

نرخ ارز بازار موازی و نرخ ارز مورد محاسبه در بازار طلا، نقش کلیدی در فرآیند تصمیم‌گیری عوامل اقتصادی دارد و در عین حال این نرخ‌ها توسط مکانیزم بازار تعیین می‌شوند، لذا می‌توان آن‌ها را منعکس‌کننده انتظارات عوامل اقتصادی در نظر گرفت. این پرسش مطرح می‌شود که آیا سیاست‌گذار ارزی نیز در تعیین و اعلام نرخ رسمی، به نرخ‌ بازارهای موازی و سایه توجه دارد؟ و آنها را در تعیین نرخ رسمی درنظر می‌گیرد؟ این مقاله به بررسی روابط بین نرخ رسمی (به طور خاص نرخ اعلامی دلار آمریکا)، نرخ موازی و نرخ سایه با استفاده از داده‌های روزانه مربوط به بازه زمانی از ابتدای سال 1389 تا پایان خرداد ماه 1403 می‌پردازد. در این پژوهش، به کمک مدل جمعی تعمیم‌یافته  (GAM)، اثرگذاری نرخ موازی و بازار سایه بر نرخ رسمی بر پایه تابع هموارساز از خانواده گاوسین مورد بررسی قرار گرفت که نتایج به‌دست‌آمده حاکی از اثرگذاری نرخ بازارهای موازی و سایه بر تعیین نرخ رسمی به صورت روابط غیرخطی می‌باشد؛ به‌طوری‌که 99.6 درصد تغییرات نرخ رسمی توسط مدل توضیح داده می‌شود. به عبارت دیگر، سیاست‌گذار ارزی در اعلام نرخ رسمی به مقادیر جاری و گذشته نرخ‌های بازار موازی و سایه توجه داشته و در جهت کاهش جایزه بازار موازی و سایه‌ نرخ‌گذاری می‌نماید.

کلیدواژه‌ها

عنوان مقاله [English]

Does the official exchange rate in Iran follow the exchange rate of parallel and shadow markets and is affected by them?

نویسندگان [English]

  • Masoud Beirami 1
  • Rahman Saadat 2
  • Majid Maddah 3
  • Amir Hossein Mozayani 4
1 Ph.D. Student in Economics, Department of Economics, University of Semnan
2 Associate professor in Economics, Department of Economics, Semnan University
3 Professor in Economics, Department of Economics, Semnan University
4 Associate professor in Economics, Economic Research Institute, Tarbiat Modares University
چکیده [English]

The parallel market and shadow market (exchange rate calculated in the gold market) exchange rates play a key role in economic decision-making, reflecting the expectations of agents and policy institutions. Central banks intervene in the exchange market for various reasons with various motivations such as controlling fluctuations, reducing the parallel market premium (PMP), or addressing exchange rate misalignments (or a combination of policy goals), So raising the question: Do Iranian policymakers consider these rates when setting the official exchange rate? Do they follow these rates in setting the official rate, or do they base the official rate solely on other policy goals? This study examines the influence of parallel and shadow rates on the official rate using daily data from April 2010 to June 2024. Utilizing the generalized additive model (GAM), it explores the linear and nonlinear effects of these rates on the official exchange rate. The findings suggest that parallel and shadow rates should be included in macroeconomic modeling, as they explain 99.6% of the changes in the official rate. This indicates that the Central Bank considers both current and past parallel and shadow rates to reduce market premiums. The results contribute to the literature on determining the official rate and market intervention policy. According to our findings, it is suggested that the parallel rate and shadow rate variables be included in macroeconomic exchange rate modelling.

کلیدواژه‌ها [English]

  • Official Exchange Rate
  • Parallel Exchange Rate
  • Shadow Exchange Rate
  • Foreign Exchange Intervention (FXI)
  • Generalized Additive Model (GAM)

مراجع

Aboulhassani, Asghar. Shaygani, Bita. Zandian, Zahra. (2020). The effect of interest rate and exchange rate on inflation targeting with heterogeneous inflation expectations approach, Journal of Econometric Modelling, 5(1), 87-110. [In Persian]
Adamec, Z., & Drápela, K. (2015). Generalized additive models as an alternative approach to the modelling of the tree height-diameter relationship. Journal of Forest Science, 61(6), 235–243.
Adler, G., & Mano, R. C. (2021). The cost of foreign exchange intervention: Concepts and measurement. Journal of Macroeconomics, 67, 103045.
Aghevli, B. B., Khan, M. S., & Montiel, P. J. (1991). Exchange rate policy in developing countries : some analytical issues. International Monetary Fund.
Akinbobola, T. O., Fatai, M. O., & Folake Bank-Ola, R. (2018). Analysis for Parallel Currency Market Premium and Macroeconomic Performance in Nigeria: Structural Autoregressive Approach. Journal of Sustainable Development in Africa, 20(3).
Akintunde, Y. W., Ebunoluwa O, O., Jelilov, G., & Timipre Mary, H. (2019). Determinants of Exchange Rate in Nigeria: A Comparison of the Official and Parallel Market Rates. The Economics and Finance Letters, 6(2), 178–188.
Amador, M., Bianchi, J., Bocola, L., & Perri, F. (2020). Exchange Rate Policies at the Zero Lower Bound. Review of Economic Studies, 87(4), 1605–1645.
Ashena, Malihe. & La'lKhezri, Hamid. (2024). Spillover Effects of Selected Macroeconomic Variables on Exchange Market Pressure: a VAR-DCC-GARCH Approach, Journal of Econometric Modelling, 2024, 9(2): 9-34. [In Persian]
Azam, J. P. (1999). Dollars for sale: Exchange rate policy and inflation in Africa. World Development, 27(10), 1843-1859.
Baayen, R. H., & Linke, M. (2020). Generalized additive mixed models. In A practical handbook of corpus linguistics (pp. 563-591). Cham: Springer International Publishing.
Bagheri Pormehr, S. (2022), Estimation of Permanent Equilibrium Exchange Rate in Iran. Journal of Iranian Economic Issues, Institute for Humanities and Cultural Studies (IHCS) Biannual Journal, 9(1), 1-22. [In Persian]
Bahmani-Oskooee, M., Miteza, I., & Nasir, A. B. M. (2002). The long-run relation between black market and official exchange rates: evidence from panel cointegration. Economics Letters, 76(3), 397-404.
Baliamoune-Lutz, M. (2010). Black and official exchange rates in Morocco: An analysis of their long-run behaviour and short-run dynamics (1974-1992). Applied Economics, 42(27), 3481–3490.
Banuri, T. (1989). Black Markets, Openness, and Central Bank Autonomy (WP 62).
Bastanzad, H. (2022), The Effects of Multiple Exchange Rates Regime on Economic Misalignments and Non-optimal Resource Allocation- Case Study: Iran Economy, Monetary and Banking Research Institution (MBRI), Research Report No. MBRI-PR-14018. [In Persian]
Beckmann, J., Belke, A., & Kühl, M. (2013). Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long Run (428).
Bouteldja, A., & Faıza, S. (2023). Black Market Exchange Rate and Macroeconomic Performance in Algeria: What Impact?. The Eurasia Proceedings of Educational and Social Sciences, 32, 39-54.
Bui, M. T. (2018). Causality in vietnam’s parallel exchange rate system during 2005–2011: policy implications for macroeconomic stability. Economies, 6(4), 68.
Cerra, V. (2019). How can a strong currency or drop in oil prices raise inflation and the black-market premium? Economic Modelling, 76, 1–13.
Cwik, T., & Winter, C. (2024). FX interventions as a form of unconventional monetary policy (4/2024; SBN Working Papers).
Dominguez, K. M. E. (2020). Revisiting Exchange Rate Rules. IMF Economic Review, 68(3), 693–719.
Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of political Economy, 84(6), 1161-1176.
Dorsainvil, K. (2000). Collapsing exchange rate regimes in the presence of a parallel market. Applied Economics, 32(6), 671–680.
Drehmann, M., & Sushko, V. (2022). The global foreign exchange market in a higher-volatility environment. BIS Quarterly Review, 12, 33-48.
Ebaidalla, E. M. (2019). Determinants and macroeconomic impact of parallel exchange rate’s premium in Sudan. African Journal of Economic Review, 7(1), 1-30.
Edwards, S. (1989). Exchange rate misalignment in developing countries. The World Bank Research Observer, 4(1), 3-21.
Edwards, S. (2018). Finding equilibrium: on the relation between exchange rates and monetary policy. BIS Paper, (96).
Eichler, S., Karmann, A., & Maltritz, D. (2009). The ADR shadow exchange rate as an early warning indicator for currency crises. Journal of Banking and Finance, 33(11), 1983–1995.
Eslamoian, Karim (2004), Impact of Shocks to Official Exchange Rate on Black Market Premium in Iran: A Two-Stage Model, Iranian Journal of Economic Research, (19) 6, 1-21, [In Persian]
Fardmanesh, M., & Douglas, S. (2008). Foreign Exchange Controls and the Parallel Market Premium. Review of Development Economics, 12(1), 72–89.
Ghei, N. (1996). The use of the parallel market rate as a guide to setting the official exchange rate. International Finance Discussion Papers.
Guisan, A., Edwards Jr, T. C., & Hastie, T. (2002). Generalized linear and generalized additive models in studies of species distributions: setting the scene. Ecological modelling, 157(2-3), 89-100.
Guyot, O., Montgomery, H., & Sheng, D. (2023). The effectiveness of foreign exchange interventions in Japan. Journal of Infrastructure, Policy and Development, 7(2).
Itskhoki, O., & Mukhin, D. (2023). Optimal exchange rate policy (No. w31933). National Bureau of Economic Research.
Kallianiotis, I. N. (2018). Exchange Rate Expectations. Journal of Applied Finance & Banking, 8(2), 1-5.
Kharas, H., Pinto, B., & Bank, T. W. (1989). Exchange Rate Rules, Black Market Premia and Fiscal Deficits: The Bolivian Hyperinflation.
Khiabani N, Ghaljei S. (2014). Exchange rate regimes and exchange market pressure in an oil-exporting economy (Case of Iran). JPBUD. 19(3), 3-22. [In Persian]
Kula, F., & Aslan, A. (2014). Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries. International Journal of Economics and Financial Issues, 4(3), 494–500.
Laudati, D., & Pesaran, M. H. (2023). Identifying the effects of sanctions on the Iranian economy using newspaper coverage. Journal of Applied Econometrics, 38(3), 271–294.
Lyons, R. K. (2001). The Microstructure Approach to Exchange Rates. The MIT Press Cambridge, Massachusetts.
MacDonald, R. (2007). Exchange Rate Economics: Theories and Evidence (First). Routledge. Taylor & Francis e-Library.
Milas, C., & Otero, J. (2002). Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach. Economic Modelling, 20, 165–179.
Mohsen Bahmani-Oskooee. (1996). The Black Market Exchange Rate and Demand for Money in Iran. Journal of Macroeconomics, 17(1), 171–176.
Pozo, S., & Wheeler, M. (1999). Expectations and the Black Market Premium. Review of International Economics, 7(2), 245–253.
Pour-Moghim, S.J. (1999). Determinants of Exchange Rate in Iran's Black Market. Journal of Economic Research, 54, 83-104. [In Persian]
Reinhart, C. M., & Rogoff, K. (2016). The Modern History of Exchange Rate Arrangements: A Reinterpretation. SSRN Electronic Journal.
Kamalian, R., Valadkhani, A., & Nameni, M. (2009). How can Iran’s black market exchange rate be managed? (09–07; Working Paper Series 2008).
Sanya, O., & Seun, I. A. (2020). Premium Exchange Rate and Output Growth in African Oil Producing Countries. International Journal of Business Marketing and Management (IJBMM), 5(8), 34–41.
Siddiki, J. U. (2000). Black market exchange rates in India: an empirical analysis. EMPIRICAL ECONOMICS, 25, 297–313.
Song, L., Tian, G., & Jiang, Y. (2022). Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China. North American Journal of Economics and Finance, 60, 101656.
Stiglitz, J. E., Ocampo, J. A., & Guzman, M. (2018). Real exchange rate policies for economic development. World Development, 110, 51–62.
Tayebinia, A., Mehraara, M., Akhtari, A. (2019). Rational Speculative Bubbles in Iran Informal Exchange Rate and Currency Crisis: Time-varying probabilities Markov regime switching approach. Journal of Economic Research, 19(74), 111-174. [In Persian]
Valadkhani, A. (2004). An Empirical Analysis of the Black Market Exchange Rate in Iran. Asian-African Journal of Economics and Econometrics, 4(2), 141–152.
Yavari, K. & Ghaderi, H. (2004). Investigating the Determinants of the Currency Margin of the Parallel Currency Market, the Real Exchange Rate and the General Price Level in Iran's Economy. Iranian Journal of Economic Research, 6(18), 111-140.
Zaroki, S., Yousefi Bar-Furushi, A., Fathollah-Zadeh, A.H. (2019). Analysis of the asymmetric effect of oil prices and inflation gap on the informal exchange rate in Iran through the Nonlinear ARDL Approach. The Journal of Economic Policy, 22, 33-62. [In Persian]

فایل ها

هم رسانی

ارجاع به این مقاله

آمار