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Monetary behavior theory in long-term and turbulent conditions on the Russian Ruble | ||
| Journal of Mathematics and Modeling in Finance | ||
| مقاله 10، دوره 2، شماره 1، مهر 2022، صفحه 183-194 اصل مقاله (191.12 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2022.14572 | ||
| نویسندگان | ||
| Farzad Jafari* 1؛ Amir Hamooni2؛ Saeid Tajdini3؛ Mohammad Qezelbash4؛ Niloufar Ebrahimiyan5 | ||
| 1University of Tehran, Tehran,Iran | ||
| 2Ph.D. candidate in Economics Department, University of Tehran, Tehran, Iran | ||
| 3Postdoc of Finance, Faculty of Economics, University of Tehran, Tehran, Iran | ||
| 4Ph.D. student in Financial Engineering, Allameh Tabataba'i University, Tehran, Iran. | ||
| 5Master of Science in Financial Management, Alzahra University, Tehran, Iran. | ||
| چکیده | ||
| In this study, based on the monetary behavior theory, which considers the mean and standard deviation of GDP per capita besides the inflation difference between two countries, we first present a model for determining the fair value of the Russian ruble in the long run from 1999 to 2021 based on macroeconomic indicators including inflation, and GDP per capita. And then we modeled the effect of widespread Russian economic sanctions on the value of the Russian ruble during the turbulent days of February 9 to April 9. Our research results show that there is not much difference between market value and fair value in the long run. Also, by observing the behavior of the ruble during the turbulent days of February 25, 2022, to April 26, 2022, and by entering the conditional risk factor and weighted average of the ruble, the USD to ruble equality between 76.23 and 91.6 was evaluated | ||
| کلیدواژهها | ||
| monetary behavior theory؛ inflation؛ sanctions؛ IGARH؛ GARCH؛ EGARCH | ||
| مراجع | ||
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