IDEAS home Printed from https://ideas.repec.org/a/ris/qjatoe/0316.html
   My bibliography  Save this article

Macroeconomic Uncertainty, Political Risk and Exchange Rate Market Fluctuations in Iran

Author

Listed:
  • Alimoradi Afshar, Parvin

    (Assistant Professor of Economics,University of Kurdistan)

  • Manochehri, Salaheddin

    (Ph.D. in Economics, Bu-Ali Sina University)

  • Amani, Ramin

    (Ph.D. Student in Economics,University of Tarbiat Modares)

Abstract

One of the most vital concerns of economists and policymakers is finding the root of economic fluctuations and minimizing them. The political situation in Iran, the existence of economic sanctions, and uncertainty in the economy have caused severe fluctuations in the exchange rate market during the last few decades. The main goal of this research is to investigate the effect of macroeconomic uncertainty and political risk on the fluctuations of the foreign exchange market in Iran from 1991 to 2020 using the vector autoregression method with time-varying parameters (TVP-VAR). To achieve this goal, the macroeconomic uncertainty index was first measured using seven economic sectors, including production, energy, price, monetary and credit variables, currency and foreign trade, and financial and stock market variables. The results of this research indicate an increasing and very strong effect of the macroeconomic uncertainty index on exchange rate fluctuations in Iran. On the other hand, political risk has had an increasing effect on exchange rate fluctuations in Iran, except during the nuclear agreement period (2014 - 2017). Moreover, other results of the research indicate the increasing and very strong effect of housing price fluctuations and gold price fluctuations on exchange rate fluctuations in Iran, while stock market fluctuations have a decreasing effect on currency market fluctuations in Iran

Suggested Citation

  • Alimoradi Afshar, Parvin & Manochehri, Salaheddin & Amani, Ramin, 2023. "Macroeconomic Uncertainty, Political Risk and Exchange Rate Market Fluctuations in Iran," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 10(3), pages 67-102, December.
    • Handle: RePEc:ris:qjatoe:0316
    as

    Download full text from publisher

    File URL: https://ecoj.tabrizu.ac.ir/article_17069_a7d95ab5832f8c7a2eb1a458a4d84ae2.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Macroeconomic Uncertainty; Political Risk; Exchange Rate; TVP-VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:qjatoe:0316. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sakineh Sojoodi (email available below). General contact details of provider: https://edirc.repec.org/data/fetabir.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.