Financial intermediaries and speculation in the foreign exchange market: the role of monetary policy in Iran’s economy

Journal of Economic Structures

The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 2 The number of regimes and lags and LR test

Equations	The Regimes	Prob. (LR test)	Lags
INV (MSMH)	The Boom	0.000 Not accepting H0	Two
	The Recession
CPI (MSMAH)	Very high	0.000 Not accepting H0	One
	High
DEP (MSMA)	High	0.000 Not accepting H0	Two
	Low
STO (MSMA)	Bull	0.000 Not accepting H0	Three
	Bear
EX (MSMAH)	High Difference between foreign exchange rates (high speculation)	0.000 Not accepting H0	Two
	Low difference (low speculation)

MSMH shows the dependence of mean and variance to regime, MSMA indicates that the mean and autoregressive coefficients are depended to regime, and MSMAH shows that both mean and autoregressive coefficients as well as variance are depended to regime. The LR test null hypothesis shows the existence of linear relations and the alternative hypothesis indicates the existence of non-linear relations. In relation to inflation rate, it has been high or very high nearly in all years of under-review period. That was why we considered its regimes as high and very high inflation rate. Based on Table 1, inflation rate has always been above 10% except for 4 years that had faced 9.6, 9, 9, and 6.8% in 2018, 2017, 1991, and 1986