Volume 17, Issue 1 (4-2012)                   JPBUD 2012, 17(1): 7-27 | Back to browse issues page

XML Persian Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Azizi Z, Hadian E. Estimating Real Exchange Rate Deviation from Equilibrium Value in Iran, using Smooth Transition Regression. JPBUD 2012; 17 (1) :7-27
URL: http://jpbud.ir/article-1-527-en.html
1- , zazizi61@yahoo.com
Abstract:   (23501 Views)
Real exchange rate disequilibrium may prove destructive to economy of countries. Thus, controlling exchange rates deviation from has always been one of the vital goals of governments. The first step in controlling this variable would be to know the equilibrium value of the real exchange rate. Linear regression models are employed in most researches where real exchange rate equilibrium value is estimated. Yet considering a non-linear adjustment process in the exchange rate, it would be misleading to use the linear models for estimating equilibrium values. In this way, the present article uses seasonal data 1994:2-2008:1 in a non-linear regression framework so as to estimate real exchange rate equilibrium relationship, while rejecting the linearity model hypothesis and affirming the presence of a non-symmetrical process in exchange rate threshold adjustment, the researchers employ Logistic Smooth Transfer Regression (LSTR) in order to estimate real exchange equilibrium model that is estimated a Newton-Raphson algorithm and conditional maximum likelihood function. In the end, the amount of exchange rate deviation from equilibrium level is mentioned for each period.
Full-Text [PDF 418 kb]   (3270 Downloads)    
Type of Study: Research |
Received: 2013/01/22 | Accepted: 2013/08/26 | ePublished: 2013/08/26

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License.

© 2023 CC BY-NC 4.0 | Planning and Budgeting

Designed & Developed by : Yektaweb