Title of article
Performance of the Iranian Currency Exchange Using Dynamic Conditional Correlation
Author/Authors
Qezelbash ، Mohammad Faculty of Economics - Allameh Tabataba’i University , Hamooni ، Amir Faculty of Economics - University of Tehran , Tajdini ، Saeid Faculty of Economics - University of Tehran , Arghavan ، Davood Faculty of Economics and Management - University of Semnan
From page
95
To page
110
Abstract
The aim of this study was to assess the performance of the Iranian currency exchange market by analyzing the dynamic conditional correlation (DCC) between the Iranian currency exchange rate and the free market exchange rate of the US dollar in Iran. This analysis was conducted for both the same day and with a one-day lag, spanning from June 20 to October 30, 2022. The results of the study indicate that the DCC for concurrent days (denoted as dcc0) stood at 48%. Meanwhile, the DCC for the Iranian currency exchange rate with a one-day delay compared to the free market US dollar exchange rate in Iran (referred to as dcc+1) was 17%, and the DCC for the free market US dollar exchange rate with a one-day lag behind the Iranian currency exchange rate (referred to as dcc-1) was 35%.
Keywords
Dynamic Conditional Correlation , Iranian Currency Exchange , Monetary Policy
Journal title
Journal of Money and Economy (Money and Economy)
Journal title
Journal of Money and Economy (Money and Economy)
Record number
2767472
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