Evaluation of Exchange Market Pressure and Degree of Government Intervention by Co-integration Technique: Case Study of Iran

Subject Areas : Labor and Demographic Economics

mahmood baghjari ¹ , Ebrahim Hoseini nasab ² , Reza Najarzadeh ³

1 - دکتری اقتصاد دانشگاه تربیت مدرس
2 - دانشیار اقتصاد دانشگاه تربیت مدرس
3 - استادیار اقتصاد دانشگاه تربیت مدرس

Received: 2016-01-25 Accepted : 2016-01-25 Published : 2016-01-01

Keywords: Exchange rate, E4, E5, JEL Classification: C3, F3 Keywords: Exchange Market Pressure, Intervention Index, Foreign Reserve, Co-integration Technique,

Abstract :

Abstract Exchange market pressure (EMP) is an important index for evaluating the changes of exchange rate and foreign exchange reserves simultaneously. In this paper, exchange market pressure is calculated based on Weymark approach during 1989: Q1- 2012:Q4. The method applied for estimating EMP is Co-integration technique by using Johansen-Juselius (JJ) technique. The results have represented that, during the period, there is a pressure on exchange rate and about 44% of exchange market pressure is attracted by foreign exchange and remaining 56% absorbed by the changes in exchange rate.

References:

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