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Bastanzad, Hossein, Davoudi, Pedram, Tavakolian, Hossein. (1396). Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran). , 22(1), 253-293. doi: 10.22059/ier.2018.65364
Hossein Bastanzad; Pedram Davoudi; Hossein Tavakolian. "Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran)". , 22, 1, 1396, 253-293. doi: 10.22059/ier.2018.65364
Bastanzad, Hossein, Davoudi, Pedram, Tavakolian, Hossein. (1396). 'Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran)', , 22(1), pp. 253-293. doi: 10.22059/ier.2018.65364
Bastanzad, Hossein, Davoudi, Pedram, Tavakolian, Hossein. Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran). , 1396; 22(1): 253-293. doi: 10.22059/ier.2018.65364

Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran)

Iranian Economic Review
مقاله 11، دوره 22، شماره 1، خرداد 2018، صفحه 253-293    اصل مقاله (1017.29 K)
شناسه دیجیتال (DOI): 10.22059/ier.2018.65364
نویسندگان
Hossein Bastanzad* 1؛ Pedram Davoudi2؛ Hossein Tavakolian3
1Economist in Money and Foreign Exchange Department, Monetary and Banking Research Institute of the Central Bank of Iran (MBRI) Tehran, Iran
2Institute for management and planning studies (IMPS), Tehran, Iran
3Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
چکیده
The RER which is theoretically influenced by the real interest rate differential (RRE) and currency excess return (CER), is statistically examined during 1990-2016. Accordingly, the stationarity of RER as null hypothesis is not approved in the Iranian economy. Therefore, the TVAR method is examined to analyze the nonstationary RER sample to two sub-periods stationary process which are both statistically recognized trend stationary and mean reversion in the context of flexible and inflexible regimes. The impacts of the RRE and CER on the RER are examined by TVAR method. The results indicate that the expected value of RER significantly explains the real interest rate differential given the fact that the estimated parameters is approximately considered non-zero. Thus, the hypothesis of real interest rate parity (RRE) is rejected in both flexible and inflexible regimes in Iran. Eventually, future contracts should be introduced at the foreign exchange market to reduce risks and uncertainty.
 
کلیدواژه‌ها
Keyword: Foreign Exchange Rate؛ UIP؛ RRE؛ Hedging؛ Future Contract. JEL Classification: F31؛ G13؛ E42؛ C12؛ C15
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