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n this paper, we consider the estimation of a time-varying parameter monetary growth rate reaction function for monetary policy in Iran. In order to deal with implicit inflation targets and time-varying parameters, a two-step procedure is... more
n this paper, we consider the estimation of a time-varying parameter monetary growth rate reaction function for monetary policy in Iran. In order to deal with implicit inflation targets and time-varying parameters, a two-step procedure is employed in estimation of the time- varying monetary policy reaction function. Considering a monetary policy reaction function with stable coefficients, we first estimate the implicit target values of inflation using Kalman filter procedure. Then, using the estimated inflation targets and explicit targets in the Development Plans, DPs, we estimate two versions of the time-varying parameter monetary policy reaction function to show the difference between what has been done and what should be done to achieve target values of the DPs. Our empirical results reveal that there has been no commitment to the target values of inflation during the first, second and fourth DPs, while the third DP was relatively successful in achieving its targets. The estimat...
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هديکچ هلاقم نیا رد ، رثا یگنوگچ یسررب روظنم هب یداصتقا نلاک یاهریغتم رب ماهس رازاب تاناسون یراذگ ، ی ک لدم ( نیزنکوین یفداصت یایوپ یمومع لداعت DSGE ساسا رب لدم یاهرتماراپ دروآرب زا دعب و یحارط ) هداد زا هدافتسا و نیزیب درکیور هرود یلصف... more
هديکچ هلاقم نیا رد ، رثا یگنوگچ یسررب روظنم هب یداصتقا نلاک یاهریغتم رب ماهس رازاب تاناسون یراذگ ، ی ک لدم ( نیزنکوین یفداصت یایوپ یمومع لداعت DSGE ساسا رب لدم یاهرتماراپ دروآرب زا دعب و یحارط ) هداد زا هدافتسا و نیزیب درکیور هرود یلصف یاه 4731 یلا 4737 هب تبسن اهریغتم ینآ شنکاو عباوت ، کوش هیامرس و یفرصم جراخم کوش و یژولونکت کوش ،یلوپ کوش ،ماهس تمیق لک صخاش یاه یراذگ یتلود و یسررب ، نزو سپس تمیق لک صخاش فاکش و لوصحم فاکش ،مروت فاکش هب طوبرم هنیهب یاه تسایس عبات رد ماهس لوپ یراذگ .تسا هدش جارختسا ی سکع عباوت یسررب ،جیاتن ساسا رب اهریغتم ینآ لمعلا کوش ربارب رد ماهس رازاب ، یم ناشن ماهس تمیق لک صخاش کوش دهد ، و دیلوت یاهریغتم رب یزیچان رثا یم نیا هک تسا هتشاد مروت نایاپ رد .دشاب ناریا رد ماهس رازاب کچوک هزادنا لیلد هب دناوت ، نتفای اب ض بیار نس زا کی ره تحت یزکرم کناب یهافر نایز و ماهس تمیق لک صخاش و دیلوت ،مروت فاکش یارب هنیهب ا ،اهویر ،ًلاوا هک دش لصاح هجیتن نیا دوخ شنکاو عباوت رد یزکرم کناب ،ًایناث ؛دهد مروت هب یرتشیب نزو دیاب س ییویران نایز ،دشاب رفص ماهس تمیق لک صخاش فاکش نزو نآ ...
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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... more
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.
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This article investigates the formation of price bubbles in the insurance industry index in the Tehran Stock Exchange with the total price index, considering the importance of the price trend and the formation of bubbles in the stock... more
This article investigates the formation of price bubbles in the insurance industry index in the Tehran Stock Exchange with the total price index, considering the importance of the price trend and the formation of bubbles in the stock market in order to get a better understanding of the price trend of the insurance industry compared to the total index of Tehran Stock Exchange. The time period studied in this article is from April 2017 to April 2020. The method used here is the Markov switching method. Also, the basis of this study to identify the price bubble is two-regime state-space model of Wu (1995) and Campbell and Shiller (1988), which considers bubble formation in one state and bubble burst in the other. The results show that the trend of price bubble formation in the insurance industry in Tehran Stock Exchange and the total price index of the stock exchange are different and fluctuations in the insurance industry index have been more than fluctuations in the total stock index...
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T his paper is to develop a quantitative monetary DSGE model with financial intermediaries and deals with the endogenously determined balance sheet constraints. Moreover, the present paper studies a DSGE model with financial... more
T his paper is to develop a quantitative monetary DSGE model with financial intermediaries and deals with the endogenously determined balance sheet constraints. Moreover, the present paper studies a DSGE model with financial intermediation as in Gertler and Karadi (2011), a monopolistically competitive banking sector to investigate the role of banks in the propagation of disturbances, and to assess the importance of shocks to the banking sector and to the financial system in explaining economic fluctuations in Iran. The model is estimated using Bayesian techniques. According to the findings, the banking sector attenuates the effects of demand shocks (i.e. monetary policy shock), strengthens the effects of supply shocks (i.e. technology shock) at the national level, and amplifies the transmission of shocks in Iranian economy. Furthermore, credit shocks in the banking system and financial shocks are the important sources of macroeconomic fluctuations in Iran. Results show that financi...
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The exchange rate regime in Iran is practically fixed. The Central Bank of Iran (CBI) has committed itself to trying to bring about a particular exchange rate regime to meet two important targets: 1. Sustaining competitiveness of the... more
The exchange rate regime in Iran is practically fixed. The Central Bank of Iran (CBI) has committed itself to trying to bring about a particular exchange rate regime to meet two important targets: 1. Sustaining competitiveness of the economy, 2. Acquiring the share of foreign reserves in monetary base in a predetermined level. Since 2001 the share of foreign reserves in monetary base has increased, which suggests that the sensitivity of CBI toward its second target should have also increased. This study tries to test whether this hypothesis is statistically significant. A Markov Switching model is used to test this hypothesis. The results show that from 2001 the sensitivity of CBI toward its second target has increased significantly, while its sensitivity toward the first target has decreased.
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Volatility of exchange rate while changes from time to time, is expected to affect firm level operations as well as aggregate level outcomes i.e. macroeconomic performance. This paper, investigates the effects of exchange rate volatility... more
Volatility of exchange rate while changes from time to time, is expected to affect firm level operations as well as aggregate level outcomes i.e. macroeconomic performance. This paper, investigates the effects of exchange rate volatility on aggregate production in Iran using a Structural Vector Auto Regressive model with Exogenous Variables (SVARX). The model is estimated based on macroeconomic data during 1990q2-2015q1. Impulse response functions show that realization of a positive shock to the exchange rate volatility-measured by quarterly coefficient of variation derived from daily exchange rate data set rather than common GARCH-based measures- is associated with a significant production drop. These results are robust in reference to changing output measures. We also provide some necessary sensitivity analysis to check robustness of the results with respect to recursive restrictions which are imposed to identify the structural model. After all this robustness checks the model con...
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تٕیل تبجث فاسٞا ٝث ُی٘ ٖبدیٔ ٍٙٞبدٕٞ سدٙٔظبی٘ پزبدهصلا پبدٞطییصٔ ظا پضبیدؿث زٛدجٟث ٚ ضاسدابی پزبدهصلا سدقض ،بٞ ْبمٔ .تؾا ِبٔ ٚ ِٛی ٜظٛح ٚز پبٞ تدؾبیؾ ُثبمصٔ طثا ٚ ٍٙٞبٕٞ ؾضطث پبصؾاض ضز زبدهصلا ضز ِبدٔ ٚ ِٛدی پبدٞ زبهت پباٛی ٕٔٛػ َزبؼت... more
تٕیل تبجث فاسٞا ٝث ُی٘ ٖبدیٔ ٍٙٞبدٕٞ سدٙٔظبی٘ پزبدهصلا پبدٞطییصٔ ظا پضبیدؿث زٛدجٟث ٚ ضاسدابی پزبدهصلا سدقض ،بٞ ْبمٔ .تؾا ِبٔ ٚ ِٛی ٜظٛح ٚز پبٞ تدؾبیؾ ُثبمصٔ طثا ٚ ٍٙٞبٕٞ ؾضطث پبصؾاض ضز زبدهصلا ضز ِبدٔ ٚ ِٛدی پبدٞ زبهت پباٛی ٕٔٛػ َزبؼت پٍِٛا ها ٝؼِبُٔ ٗاا ضز ٖاطاا ٜسق فطؼٔ ٖاطاا زبهصلا پاطث ٝصفبا ُاسؼت ساسخ پعٙیو ف پظبث ٝاطظ٘ ةٛچضبچ ضز ٚ پظبث ،بٞ ٓیٕهت طث ٙصجٔ ٝو ف٘ َزبؼت پبٞ يطجّوبصقا پظبث ،تؾا طٍاظبث ٚز ُمصؿٔ پطیٌ تؾبیؾ پطجٞض تِبح ٚز ضز تؾبیؾ پطجٞض ٚ ِبٔ ضاصٌ تؾبیؾ ٝٙیٟث تؾبیؾ غثبت ٝ٘اضبىٕٞ پظبث ٚ ِٛی ضاصٌ صٌ ٖاضا پعیث زطىاٚض ظا ٜزبفصؾا بث ٚ جاطرصؾا ِٛی ٚ ِبٔ زضٚآطث ضز ٞبدفض ٍااطدق ٗاطدصٟث ٝو تؾا ٖآ ظا وبح حابص٘ .سق تؾبیؾ ٚز پضبىٕٞ تضٛن ٗ یابدی ٖباظ زطىاٚض ٗاا ُو ضز ٚ زاز سٞاٛذ خض ْضٛت ٝث طصكیث ٖظٚ ِبحِ ٚ ضاصٌ اض پطدت ت اصِ .تقاز سٞاٛذ ٜاطٕٞ ٝث طٍاز ٍااطق ٝث تجؿ٘ ٝدث ُدی٘ تدٟخ ٝدج٘بخٚز پضبدىٕٞ ٝدث تؾبیؾ ٚز ْبٕصٞا ٍِٛا ٝینٛ .سدٙٞز ضاطدل ْضٛدت َطدصٙو ضز اض تداِٛٚا ضٛدظٙٔ ٗداا پاطدث ٚ تؾا پزبهصلا تبجث ّفح ٚ ْضٛت َطصٙو نطصكٔ فسٞ ٝث ٔ طظ٘ ٝث ،ٜٚلاػ تؾبیؾ پضبىٕٞ ٝث ُی٘ ْسػ تضٛن ضز سؾض تد...
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T he consequences of the decisions and policies taken for the reconstruction of Afghanistan during the past decade, showed that there should be paid more attention to the monetary policies. There is also a question that whether monetary... more
T he consequences of the decisions and policies taken for the reconstruction of Afghanistan during the past decade, showed that there should be paid more attention to the monetary policies. There is also a question that whether monetary policies have the potential to affect the production and inflation in Afghanistan or not. The aim of this paper is to explore this effect by designing a new Keynesian dynamic stochastic general equilibrium (DSGE) model. The DSGE model used in this paper is taken from the new Keynesian theoretical foundations. It has been addressed to the role of households, firms, the monetary policy of Da Afghanistan Bank, as well as aids of international institutions as shocks that have been able to allocate a particular role in the Afghanistan's economy to itself, with regard to nominal rigidities and monopoly competition in this model. The results show the impulse response functions of production is negative to the external aid shock, financial shock, exchang...
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The importance of monetary and fiscal policy coordination, in view of the financial crises of recent decades, has increased more and this has led countries to adopt coherent and coordinated policy combinations to deal with the adverse... more
The importance of monetary and fiscal policy coordination, in view of the financial crises of recent decades, has increased more and this has led countries to adopt coherent and coordinated policy combinations to deal with the adverse effects of crises on the economy. To examine the situation of coordination and interaction between monetary and fiscal policy in Iran we use a time-varying parameter VARMA model with stochastic volatility. Following Klime et al (2016) which is based on Sargent and Surico (2011), we drive law-frequency relationship between inflation and government fiscal stance which reflects a time-varying indicator of the interaction and coordination of monetary and fiscal policy, because if the monetary and fiscal policy is coordinated, the relationship between inflation and the government's financial situation will be low. The results show different monetary and fiscal policy interactions during different presidential era. The highest level of coordination betwe...
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We assess how non-orthodox monetary policy of an economy with multiple currency practices impacts growth and development. The central bank employs two monetary instruments: i) adjustment of the official exchange rate and ii) adjustment of... more
We assess how non-orthodox monetary policy of an economy with multiple currency practices impacts growth and development. The central bank employs two monetary instruments: i) adjustment of the official exchange rate and ii) adjustment of nominal monetary base growth to stabilize the economy through minimizing the inflation and output gaps. A third instrument, intervention in the foreign exchange market, is used to control the exchange rate gap. The main message of this paper is that with a persistent external shock, the MPCs are effective at best in the short-run; while it hurts long-term growth. To reduce the adverse impacts on development, we suggest using the producer price index (PPI) in the monetary instruments instead of the consumer price index (CPI). We find that the PPI results in lower welfare losses. We then show that even under a unified exchange rate regime, the PPI targeting considerably performs better. Finally, we indicate that monetary instruments are more effective in the presence of a fiscal rule.
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This paper develops a DSGE model for a small open oil economy which has two rates at official and free (unofficial) markets for foreign currency. In this model, government has access to foreign currency by supplying oil in international... more
This paper develops a DSGE model for a small open oil economy which has two rates at official and free (unofficial) markets for foreign currency. In this model, government has access to foreign currency by supplying oil in international markets. Using the oil revenue, the government provides the Central Bank and essential imported goods with foreign currency at the official rate; Other goods are imported at the unofficial rate. The CB’s objective is to minimize the difference between nominal free and official exchange rates. To do so, the CB uses three policy instruments: i) either holds foreign currency as financial assets or sells it to the free market at the unofficial rate, ii) nominal monetary base growth rate and iii) nominal depreciation of official exchange rate. These instruments are applied in this paper in four scenarios of CPI targeting and PPI targeting in both dual and unified exchange rate regimes. Through a welfare analysis, this paper indicates that PPI targeting wo...
According to recent debates about transforming some portion of the foreign reserves of central banks from the dollar to the euro, this study will empirically investigate the composition of foreign reserves of the central banks of Iran,... more
According to recent debates about transforming some portion of the foreign reserves of central banks from the dollar to the euro, this study will empirically investigate the composition of foreign reserves of the central banks of Iran, Russia, Saudi Arabia, Turkey, ...