This paper analyzes qualitatively the impact of changes in the level and variability of the US dollar / EURO exchange rate on the real GDP growth rate and trade balance positions of three MENA countries, namely Egypt, Jordan and Morocco. First, the analytical framework is presented by developing explicit relationships between (1) output growth and the variability of the nominal exchange rate; (...

This paper uses descriptive statistics and regression analyses to esamine the relationship between exchange rate variability and output volatility in developed countries based on 1961 to 1984 data. The results indicate that a flexible exchange rate system is associated with less, not more, dispersion in output growth across industrialized countries despite a more turbulent global environment. A...

This paper develops a dynamic general-equilibrium (DGE) model of a small open economy to investigate alternative monetary rules, differing primarily in the degree to which they allow for exchange rate flexibility. A central argument of the paper is that the nature of the trade-off between fixed and floating exchange rates may be quite different in mature industrial economies than in emerging-ma...

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  ...

This paper presents an efficient currency option pricing model based on support vector regression (SVR). This model focuses on selection of input variables of SVR. We apply stochastic volatility model with jumps to SVR in order to account for sudden big changes in exchange rate volatility. We use forward exchange rate as the input variable of SVR, since forward exchange rate takes interest rate...

in this section of the journal, a summary of theses completed at the m.b.a level is presented. the title of these are: 1- the effect of financing methods on the stock price on the tehran stock exchange by mohammad rahmani 2- the effect of money supply on the exchange rate in iran by minuo kiani -red 3- an investigation of the reasons for price volatility of stock price an tehran on the stock ex...