Lotfi Ghahroud, Majid, Jafari, Farzad, Tajdini, Saeid, Farajnezhad, Mohammad, Qezelbash, Mohammad. (1402). Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias. سامانه مدیریت نشریات علمی, 3(2), 129-148. doi: 10.22054/jmmf.2024.75347.1102
Majid Lotfi Ghahroud; Farzad Jafari; Saeid Tajdini; Mohammad Farajnezhad; Mohammad Qezelbash. "Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias". سامانه مدیریت نشریات علمی, 3, 2, 1402, 129-148. doi: 10.22054/jmmf.2024.75347.1102
Lotfi Ghahroud, Majid, Jafari, Farzad, Tajdini, Saeid, Farajnezhad, Mohammad, Qezelbash, Mohammad. (1402). 'Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias', سامانه مدیریت نشریات علمی, 3(2), pp. 129-148. doi: 10.22054/jmmf.2024.75347.1102
Lotfi Ghahroud, Majid, Jafari, Farzad, Tajdini, Saeid, Farajnezhad, Mohammad, Qezelbash, Mohammad. Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias. سامانه مدیریت نشریات علمی, 1402; 3(2): 129-148. doi: 10.22054/jmmf.2024.75347.1102

Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias

Journal of Mathematics and Modeling in Finance
دوره 3، شماره 2، اسفند 2023، صفحه 129-148    اصل مقاله (233.92 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2024.75347.1102
نویسندگان
Majid Lotfi Ghahroud1؛ Farzad Jafari2؛ Saeid Tajdini3؛ Mohammad Farajnezhad4؛ Mohammad Qezelbash* 5
1Department of Management, Faculty of financial management, University of Tehran, Tehran, Iran
2Telfer School of Management, University of Ottawa, Ottawa, Canada
3Faculty of Economics, University of Tehran, Tehran, Iran
4Azman Hashim International Business School (AHIBS), Universiti Teknologi Malaysia, 81310 Skudai, Johor, Malaysia
5Department of Managemen and Accounting, Allameh Tabataba’i University, Tehran, Iran.
چکیده
This study examines the dynamics of the Iranian foreign exchange market and its impact on the exchange rate used by traders, and not the official rate in Iran. The study aims to extend Fama's theory of market efficiency and proposes a new model to define the opposite point called "Historical bias". The study applied the ARIMA and Markov switching models and dynamic conditional correlation to measure the speed of information circulation and to investigate the origin of the Iranian foreign exchange market's impact on the trader rate of the Dollar market. The study analyzed the convergence of the Iranian foreign exchange market based on different rates, the exchange rate used by traders, and the official rate and its effect on developing CBDC in Iran. The results of this study show that based on Fama's theory of market efficiency the foreign exchange market in Iran could have a 15% history-oriented bias, which is significant and would be an important problem for the launching of CBDC in Iran.
کلیدواژه‌ها
Central Bank Digital Currency (CBDC)؛ Market Efficiency؛ Dynamic Conditional Correlation (DCC)؛ Iran Currency Exchange؛ History-Oriented Bias
مراجع
آمار
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