An analysis of the currency crises of the Iranian economy

Document Type : Original Article

Authors

1 PhD student in Economics, Department of Economics, Faculty of Economics, Management and Administrative Sciences, Semnan University

2 Professor of Economics, Department of Economics, Faculty of Economics, Management and Administrative Sciences, Semnan University

10.22075/jem.2025.36181.1960

Abstract

In the last 13 years; Iran's economy has gone through five currency crises. The negative effect of this situation on key macroeconomic variables cannot be ignored. This article seeks to model and analyze the variance of the data of the above-mentioned crises. Although a large number of studies have been conducted on modeling currency fluctuations, there is no study that specifically examines currency crises in a standard statistical framework. Here, daily exchange rate data from 1390 to 1403 has been examined. Also, the divergence and convergence of fluctuations have been examined. Exchange rate fluctuations are generally divergent, although they have been convergent in some crises. Also, the risk vector of the Iranian currency market has been extracted and its positive and significant effect on the exchange rate has been observed. In addition, the discussion of symmetric and asymmetric fluctuations was also evaluated with the EGARCH model and it was found that negative news has a greater effect on exchange rate fluctuations. Finally, the effect of the risk variable on dollar returns was tested with the GARCH-M model, and no direct and clear relationship was found between them.

Keywords

References

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