رژیم های ارزی و فشار بازار ارز در یک اقتصاد صادرکننده نفت (مورد ایران)

Recently instability in Iranian exchange market, particularly after imposing huge economic sanctions has generated a lot interest among economist and academicians to investigate driving force of this instability. This paper estimates a new nonlinear exchange market pressure for Iran’s economy using MSMH(2)-VAR(2) method. The empirical results identify the two episodes of exchange market pressure in the Iran and confirm the statistical superiority of the nonlinear regime-switching model over linear model versions in understanding exchange market pressure. Our findings indicate that staying in the depreciation episode is more persistent than staying in appreciate episode. Our results also show that the fluctuation in “Iranian oil Revenues has crucial role in determining exchange market pressure. Declining in the oil revenue is accomplished by a regime transition from appreciation to depreciation exchange rate pressures. In the contrast, a higher appreciation regime is characterized a higher increase in oil revenues and a higher decline in exchange rate changes.