Asymmetric Effect

One of the main issues in international finance is the ratio of exchange rate pass through to consumer prices. The main objective of this study is to examine the exchange rate fluctuations and its asymmetric effect on consumer prices in Iran’s economy. In the present study, the effects of positive and negative impacts of the exchange rate on inflation rate and other macroeconomic variables of Iran during the period from 1988 to 2017, in the framework of a recursive VAR model have investigated. The results indicate that exchange rate pass through in the short run is 33.5% and in the long run is 43.03%, which indicates that the exchange rate is incomplete. In addition, the results indicate the asymmetric effect of the exchange rate, which is about 38.43% increase in the exchange rate and 16.38% decrease in the exchange rate negatively reflected in consumer price inflation.

Stock Exchange Investors have paid more attention to the banking group in recent years so that in many cases, the direction of the banking index has changed the general direction of the market. Therefore, exploring the banking index fluctuation is important from the point of view of investors as well as the direction of the market. The purpose is to examine the effectiveness and direction of news, as one of the most important factors in the formation of volatility, on the banking group index in Tehran Stock Exchange by using 1460 daily records during 2018-2019 and the GARCH family's method. The data were collected for four different newsgroups, including economic, political, psychological, and financial. After that, the news that had more relationship with the banking group was separated to underscore in the weighting stage and divided into the positive and negative news, according to the perspectives of capital market experts and economic elites. The results indicated that newsgroups have a significant effect on the group index, and only the negative political model on the banking group has an asymmetric effect. The results indicated that political and economic news has a positive and significant impact on banking index fluctuations.

Risk and uncertainty are inherent characteristics of economic activities. This study aimed to investigate how fluctuations in macroeconomic variables affected the economic growth of Iran, in the period 1989-2021. To this end, fluctuations in macroeconomic variables were measured using EGARCH method, and then Iran’s economic growth equation was estimated based on the Markov Regime-Switching GARCH. The MRS(2)-AR(2) model was estimated. The model estimation results revealed two regimes of prosperity and recession in Iran's economy, the latter was more durable than the former in the studied period. The different effects of OPEC oil price fluctuations in the two regimes, indicating the asymmetric effects of this variable on Iran's economic growth. In other words, the effects of this uncertainty on Iran’s economic growth are smaller during a period of recession than a period of prosperity. The results on real exchange rate fluctuations showed that fluctuations in this variable had similar destructive effects on Iran’s economic growth. The results revealed the positive and negative effects of inflation rate fluctuations on Iran’s economic growth during periods of recession and prosperity, respectively. The IQI coefficient showed the positive effects of this variable on Iran’s economic growth; higher institutional quality increases physical capital and, thereby, economic growth. Based on the model estimation results, it is impossible to propose a single solution to control fluctuations in macroeconomic variables in Iran during different periods. economic policymakers should adopt and implement the best policies considering the periods of recession or prosperity as well as the development priorities.