Nonlinear Evaluation of the Role of Monetary Transmission Channels in Iran: MSVAR Approach

​Studying the monetary transmission mechanisms help to analyze the effects of the transmission channels and is also useful for identifying the contribution of each channel in monetary transmission. This paper is aimed to investigate the role of housing price, stock prices, exchange rate and credit channels in the monetary policy transmission. Since due to structural changes, non-linear transfer of monetary policies and change in the relationship between variables over time is possible, in this study, we use MSVAR for considering these structural changes in different regimes. This model includes variables like GDP, consumer price index, base of money, land price index, Tehran Stock Exchange index, informal exchange rate, the banks' loans to the private sector which are collected during the 1991Q1 and 2015Q4. The results indicate in the first regime (years before 2006), credit channel in short-term, exchange rate channel in midterm and housing price channel in long-term have the most role in the mechanism of transition to production, While in the regime0 (years after 2006), credit channel in the short run, the housing price channel in the midterm and the stock price channel, in the long run, have had the largest share in the transfer of the effects of money on production. On the other hand, monetary policy in the regime through the channel of the exchange rate and in the regime0 through the credit channel has had the most impact on the price level.