Document Type : Research Paper

Authors

1 Department of Economics, Bu-Ali Sina University, Hamedan, Iran

2 Department of Economics, Mazandaran University, Babolsar, Iran

3 Department of Financial Management, Faculty of Management, Shahid Beheshti University, Tehran, Iran

4 Department of Financial Engineering, Faculty of Management, Azad University of Tehran, Iran

Abstract

In this study, the role of currency fluctuations in the impact of monetary policy on Iran's non-oil trade balance with emphasis on regime change during the period 1973-2107 has been studied quarterly. In this regard, EGARCH regression has been used to model currency fluctuations and STAR regression has been used to investigate the role of these fluctuations in the impact of monetary policy on non-oil trade balance. The results of STAR model estimation showed that there are two regimes including high and low regimes with a threshold value of -0.055 for the trade balance variable in the study period. The results of the low regime (trade balance less than -0.055) show that the variables of trade balance with one lag, real exchange rate, exchange rate volatility index with monetary policy, liquidity and trade openness index of 980, respectively 13, -1 / 299, -0.462, -1/404 and -2,484 have an effect on the trade balance. In the high regime (trade balance more than 4,055), the variables of trade balance with one lag, real exchange rate, exchange rate volatility index with monetary policy, liquidity and trade openness index are 25,601, 1,604, 562, respectively. 0.0, 2.177 and 3.158 have an effect on the trade balance. Therefore, in the low regime, exchange rate fluctuations have a negative effect on the trade balance and in the high regime, a positive effect. This result could be due to the severe exchange rate fluctuations in the post-revolutionary period, which due to the devaluation of the national currency, caused domestic goods to become cheaper than foreign goods and increased non-oil exports .

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