University of Tehran Iranian Economic Review 1026-6542 22 1 2018 03 01 Foreign Exchange Rate Pricing at the Future Contract (Case of I.R. of Iran) 253 293 65364 10.22059/ier.2018.65364 EN Hossein Bastanzad Economist in Money and Foreign Exchange Department, Monetary and Banking Research Institute of the Central Bank of Iran (MBRI) Tehran, Iran Pedram Davoudi Institute for management and planning studies (IMPS), Tehran, Iran Hossein Tavakolian Faculty of Economics, Allameh Tabataba&#039;i University, Tehran, Iran Journal Article 2017 02 27 The RER which is theoretically influenced by the real interest rate differential (RRE) and currency excess return (CER), is statistically examined during 1990-2016. Accordingly, the stationarity of RER as null hypothesis is not approved in the Iranian economy. Therefore, the TVAR method is examined to analyze the nonstationary RER sample to two sub-periods stationary process which are both statistically recognized trend stationary and mean reversion in the context of flexible and inflexible regimes. The impacts of the RRE and CER on the RER are examined by TVAR method. The results indicate that the expected value of RER significantly explains the real interest rate differential given the fact that the estimated parameters is approximately considered non-zero. Thus, the hypothesis of real interest rate parity (RRE) is rejected in both flexible and inflexible regimes in Iran. Eventually, future contracts should be introduced at the foreign exchange market to reduce risks and uncertainty.<br />   https://ier.ut.ac.ir/article_65364_add5d7977b9862e02b499c56bbeef1b6.pdf