نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری اقتصاد نفت و گاز، گروه اقتصاد، واحد مرودشت، دانشگاه آزاد اسلامی، مرودشت، ایران
2 دانشیار، گروه اقتصاد، واحد مرودشت، دانشگاه آزاد اسلامی، مرودشت، ایران
3 استادیار، واحد تهران غرب، دانشگاه آزاد اسلامی، تهران، ایران
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Markov switching-based regression addresses the issue of whether a market is dominated by a single regime or whether it is dominated by different regimes (such as boom and bust) over time. This study has applied the central idea of Markov Switching Regression to identify the regimes governing Iran's unofficial exchange rate market and the relationship between the stock market and the foreign exchange market based on such a regime. Therefore, daily data on unofficial exchange rates for the period (2015-2021). were used to examine Markov switching, and then stock return data for the same period and exchange rate volatility in the form of daily exchange rate GARCH were used to examine the relationship between the stock market and the currency. The results of the study indicated that the structure of the informal foreign exchange market in Iran had three regimes: high growth, zero (negligible) growth, and negative growth, and the stock market had an inverse relationship with the foreign exchange market in all three regimes.
کلیدواژهها [English]
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