Document Type : Research Paper
Authors
Abstract
Using the Markov-Switching methods with monthly data 1989-2004 for an Early Warning Model for OPEC member countries is estimated. Doing so, the real effective exchange rate is used as the dependent variable, on the other hand, the ratio of M2 over foreign assets, ratio of foreign debt to foreign assets, ratio of internal credits to deposits, growth rate of foreign assets, deposits growth rate, growth rate of M2 over foreign assets, growth rate of oil income are considered as the explanation variables. According to the estimated model, the average growth rate of the real effective exchange rate in OPEC has been about 0.14 percent during the tranquil (Null Situation) and about -0.36 percent during crisis time (1 situation), which were not statistically significant. Volatility of the real exchange rate in tranquil time and in crisis time have apparent differences. Volatility in tranquil time was low and about 2 percent and in crisis time was high and about 29 percent. This shows that the volatility of exchange growth rate
has been an appropriate variable for distinction between tranquil and crisis periods.
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