Skip to main content

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

Table 7 The estimation results of equation EX

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

− 0.320646

− 2.80852

0.147

0.133

0.018

0.000

STO

− 0.899544

− 1.74743

0.05922

0.153

0.003

0.000

DEP

− 3.50716

− 2.70415

0.3094

0.1255

0.000

0.000

AR-1

0.619842

− 0.37659

0.1683

0.1514

0.000

0.000

AR-2

− 0.154128

0.329754

0.1344

0.2025

0.075

0.000

AR-3

0.545574

− 0.12211

0.06607

0.03899

0.000

0.010

Sigma

0.058789

2.12567

0.008923

0.6157

 

M

2.55658

0.1187

0.000

GDP

4.98103

1.9171

0.000

CPI

14.4216

0.4947

0.000

RATE

8.69911

0.3912

0.000

INV

− 1.93791

0.1601

0.000

Transition matrix and the average of persistence years

P00: 0.76165

P10: 0.85714

P01: 0.23835

P11: 0.14286

  1. The average duration of high Speculation (difference between official and unofficial foreign exchange rates) was 3.67 years and low 1.2 years. 78.57% of the interval, in regime (0) and 21.43% in regime (1)
  2. AR-1, AR-2, and AR-3 show the lags of the gap between exchange rates. Sigma is the variance or the fluctuations of the gap between exchange rates. M, GDP, and RATE are orderly the coin and bills in people’s hands, gross domestic product, and real interest rate