Price Bubble and the Effect of Economic Variables on the Exchange Rate in the Iranian Financial Market Using ARIMA and TAR Methods

Subject Areas : Financial Economics

Yagoob Zahedi ¹ , Nader Rezaei ² , Vadoud Najjari ³

1 - Department of finance, Maragheh Branch, Islamic Azad University, Maragheh, Iran
2 - Department of accounting and finance, Bonab Branch, Islamic Azad University, Bonab, Iran. (Corresponding
3 - Department of Mathematics, Maragheh Branch, Islamic Azad University, Maragheh, Iran

Received: 2023-07-19 Accepted : 2023-09-01 Published : 2023-09-23

Keywords: E44, exchange rate, F31, Keywords: Price bubble, Macroeconomic variables JEL Classification: G14,

Abstract :

Abstract Many financial crises follow the bursting of the financial asset bubble, and it is important to examine the bubble behavior in these markets and make an early diagnosis to prevent adverse economic consequences; Therefore, the main purpose of this study was to investigate the effect of four economic and financial variables including GDP, auto index and parts of stock exchange indices, inflation rate and oil income on the exchange rate by quasi-experimental studies with two statistical models ARIMA and model The return itself is the TAR threshold. Considering that previous studies in this field, which have mostly dealt with the formation and explosion of bubbles, and in this field, studies have not been done or are limited; Therefore, in this study, first, data were collected quarterly in the time yield of spring 2011 to spring 1400 and were analyzed by descriptive statistics and econometrics. The results of ARIMA model analysis show that an increase in the exchange rate unit in a past period will lead to an increase of 1.94 exchange rates in the current period. The results of TAR model analysis show that there is a nonlinear relationship between the variables studied in the study and two thresholds for GDP (2130- and 15460) were estimated, indicating different effects of GDP, inflation rate, car index and parts. One of the indicators of the stock exchange and oil income in the regime is high, medium and low (threshold level of 2130-15460) on the exchange rate.

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