exchange rate prediction, as one of the main variables in macroeconomics, has been one of the aims of the economic research for a long time. for modeling and predicting exchange rate we apply stochastic differential equation, specifically we use geometric brownian motion (gbm) and jump-diffusion process (mjdp) attributed to merton. we show that the result of simulation based on gbm and mjdp out...

Several political and economic factors are involved in choosing exchange rate policy in Organization of Islamic Cooperation (OIC) countries. In the present study, these factors  have been investigated with an emphasis on OCA and political economic factors during 1990 -2014. The result shows that OCA and political economic factors as well as tradable sector are influential on exchange rate poli...

The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...

s tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. this study investigates the effect of exchange rate volatility on the stock exchange returns of d8 countries. it takes monthly data during the period (2008:1-2015:6) constituting 90 observations. at first we used panel-garch model to estimate exchange rate volatility in...

fluctuation of exchange rate and its deviation from equilibrium path are one of the most important macroeconomic variables that is affected by different side of economical sectors. whereas, the exchange rate fluctuation and its deviation from equilibrium path haven’t the same and similar effects on all of the economical sectors, and considering eminent important of industrial development on the...

This paper studies the role of exchange rate volatility in determining the UK’s real imports from three major developing countries Brazil, China, and South Africa. The paper contributes to the literature by investigating the third country effect and also by analyzing the impact of the current financial crisis on the relationship between exchange rate volatility and UK imports. This paper furthe...

The present study has made an attempt to discuss the effects of exchange rate volatility and price expectation on maize imports in Iran from 1980 to 2013. In doing so, using the EGARCH technique for time series econometrics, price volatility variables for both exchange rate and final price have been calculated, and the time series for these variables have been extracted. Additionally, in regard...

exchange rate and national income of countries trading with each other are among the most important factors affecting each country's trade. considering the political and economic ties between iran and venezuela in recent years, the goal of this paper was to investigate the effect of exchange rate volatility on exports of iran to venezuela. data used in this research include annual data for...

the objective of this study is to estimate the demand for money in iran using the autoregressive distributed lag (ardl) approach to cointegration analysis. the empirical results show that there is a unique cointegrated and stable long-run relationship among m1 monetary aggregate, income, inflation and exchange rate. we find that the income elasticity and exchange rate coefficients are positive ...

we describe a simple model that fits well with iranian economy, and extends a methodology which chary at el. (2007) demonstrated. in addition to four traditional wedges, we introduce additional trade wedge. we then evaluate the contribution of these wedges to the fluctuations in iran during last three years. because of international sanction, trading cost increases, and firms have difficulty to...