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

Table 6 The estimation results of equation DEP

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

Variables

Coefficient

Std. error

Prob.

Regimes

Regime(0)

Regime(1)

Regime(0)

Regime(1)

Regime(0)

Regime(1)

Constant

0.150322

− 0.05935

0.02688

0.03033

0.000

0.017

STO

− 0.043751

− 0.05290

0.01468

0.01822

0.006

0.002

EX

0.0110713

− 0.11535

0.004263

0.01384

0.003

0.000

CPI

− 0.684714

1.13436

0.1683

0.1514

0.001

0.000

AR-1

0.678773

1.18527

0.1344

0.2025

0.001

0.000

AR-2

0.106606

− 2.91553

0.06607

0.03899

0.030

0.000

M

0.959647

0.03899

0.000

GDP

1.02295

0.1868

0.000

RATE

− 0.571463

0.1945

0.022

Sigma

0.0308762

0.0415

 

Transition matrix and the average of persistence years

P00: 0.90046

P10: 0.42933

P01: 0.099537

P11: 0.57067

  1. The average duration of high DEP was 7.67 years and low 3 years. 79.31% of the interval, DEP was in regime (0) and 20.69% in regime (1)
  2. AR-1 and AR-2 show the lags of bank deposits. Sigma is the variance or the fluctuations of bank deposits. M, GDP, and RATE are orderly the coin and bills in people’s hands, gross domestic product, and real interest rate