حسین توکلیان

In this article, we have evaluated the capability of several New Keynesian models with behavioral characteristics in forecasting the effects of a monetary policy shock. We have considered the assumption of bounded rationality, taking into account agents' learning and finite horizon planning. The estimation of the models was conducted using the Bayesian approach within the framework of the dynamic stochastic general equilibrium. We used seasonal data from the Iranian economy covering the period 1988:2-2023:1. Our results indicate several important findings. Firstly, the New Keynesian model, which incorporates finite horizon planning, is more compatible with the data. Secondly, we found that in response to a monetary shock, finite horizon models exhibit less fluctuations and are more persistent compared to the Canonical New Keynesian model. This is due to the slow learning of agents from past experiences. As a result, the central bank reacts less aggressively to inflation and output fluctuations in finite horizon models compared to the Canonical New Keynesian model. Overall, our findings suggest that incorporating bounded rationality and finite horizon planning in New Keynesian models improves their ability to forecast the effects of monetary policy shocks in the Iranian economy.

Considering the intermediary role of banks in the economy and their critical function in the propagation of economic shocks to the real sector, this study aims to investigate the role of bank capital in analyzing the relationship between banks' balance sheet characteristics and economic fluctuations using a Dynamic Stochastic General Equilibrium (DSGE) model. The results demonstrate that, in the model with a bank capital channel, positive shocks lead to more robust economic growth. This is attributed to the banks' ability to invest, enhancing the positive effects of shocks. Taking bank capital into account, variables such as consumption, and inflation exhibit better performance, with reduced fluctuations or quicker adjustments, leading to economic stability. Conversely, in an economic scenario without a bank capital channel, positive shocks have a lesser impact on economic variables. Consequently, the results can effectively inform decision-making regarding the necessity of adhering to bank capital adequacy ratios.

To achieve the optimal monetary policy, attention must be paid to a key element: the credibility of monetary policy authorities. Credibility plays a crucial role in the effectiveness of these policies, as it facilitates the attainment of targeted variables with minimal fluctuation and social cost. Conversely, in times of unexpected economic shocks, discretionary policy becomes optimal, providing policymakers with flexibility to make appropriate monetary decisions. Conversely, in times of unexpected economic shocks, the use of discretionary policy is optimal because it provids policy makers with more flexibility to make appropriate monetary decisions. In this study, we pursued two goals. First, we constructed a Dynamic Stochastic General Equilibrium (DSGE) model for an open and small economy according to the conditions of Iran's economy. We then estimated the of credibility of Iran’s monetary policy authority in managing both the inflation rate and exchange rate yielding figures of0.1019 and 0.0099 respectively. Then, in order to find the optimal discretionary monetary policy under the influence of two scenarios of low and high credibility of the monetary policy authorities, we utilized the minimum loss function approach. The results of the model indicated that the credibility of the monetary policy maker in Iran is very low in both the inflation rate and the exchange rate. Examining the loss function of the central bank showed that, in both scenarios, minimizing the exchange rate gap while assigning equal weight to other objectives leads to the lowest possible loss function value.

Money laundering one of the types of financial corruption has a very detrimental role on the economic. Planning the country's economic development and making decisions to implement economic policies requires recognition of the performance of the whole economy, including the formal and legal sector, and the informal and illegal sectors affected by money laundering. Hence, recognition of the consequences of money laundering shocks is a prelude to combating this phenomenon. This research has used dynamic stochastic general equilibrium models framework to model Iran's money laundering sector and investigate efficiency shocks for legal production and illegal production. The results show that the proposed model has been able to identify cyclical behavior and fluctuations of variables. The results of the research and comparison of a positive momentum of productivity in the legal and non-legal production sectors indicate similar behavior of most variables except labor force in both sectors, so that the positive momentum of productivity in both legal and illegal production sectors increases the production of legal and illegal enterprises and the increase in total production, the level of labor wage and commodity prices in the legal sector, An increase in consumption in the illegal sector and an increase in the consumption of all goods, an increase in the amount of investment and a decrease in physical capital, and finally an increase in the demand for money and an increase in the interest rate.

The purpose of this study is the investigating of the government spending effects on the important macroeconomic variables in the Iranian economy in terms of full reserve banking. To achieve this goal, a stochastic dynamic general equilibrium model of the new Keynesians is designed by considering the full reserve banking system (FRB) and in view of the Iranian economy realities and then examines the effects of the impulse under two financing scenarios -with and without money creation. After the determining of  the model input values and estimating the parameters by using quarterly data of Iran’s economy during the period of 1991-2020 by the Bayesian estimation method, the results of the model variables simulation indicate the validation of the model in describing the fluctuations of the Iran’s economy. Examining the dynamics of the model shows that the response of the important macroeconomic variables such as production, inflation, consumption and money supply to the impulse of government spending are very similar under the two scenarios. in general, money creation under full reserve banking system causes the reducing of the government debt. The effectivity of the monetary policy increases because by increasing of the deposits, the reserves of the central bank increase by the same amount, or in other words, one hundred present reserves for deposits occurs, which in turn leads to a decrease in money without support or Money supply. Theoretical and empirical results also confirm that under one hundred present reserves banking, monetization of the government budget deficit, in addition to a significant reduction in the government debt, leads to a further reduction in the inflation, increasing of the consumption and the boom in the production. In other words, the FRB generate more capacity for fiscal policy.

Oil-exporting countries often escalate macroeconomic fluctuations by adopting cyclical fiscal policies. Empirical evidence shows that the main reason of instability in oil-exporting countries is the poor management of oil. In this study, after introducing a small open macroeconomic model with a dual managed floating exchange rate regime and estimating it using quarterly macroeconomic data of Iran, five fiscal rules, balanced budget rule (BBR), counter cyclical rule (CCR), structural surplus rule (SSR), government expenditure rule (EXR) and government revenue rule (INR) were introduced. To select the appropriate fiscal rule for Iran, two approaches are used: loss function and Bayes ratio approaches. The results show that both statistical and welfare criteria confirm that the appropriate rule for the Iranian economy is the SSR financial rule. In other words, because the bulk of government revenue comes from oil sales, following a structural budget surplus rule minimizes the negative effects of sharp fluctuations in oil, and the government budget is much better balanced. Also, a single-float managed exchange rate system, along with the selected fiscal rule, leads to higher social welfare.

Following the financial crisis of 2008-2007, the use of macroprudential measures to curb credit cycles became an economic policy in many countries. However, under certain conditions, the implementation of these policies may have negative effects on the output gap and price stability, which are the goals of monetary policy. In this paper, by designing a a closed dynamic stochastic general equilibrium model for the Iranian economy in the period 1369: 1 to 1399: 2 and macroprudential tools loan-to-value restrictions and countercyclical capital buffer and shocks including productivity, bank capital and monetary policy shocks is used and the conflicts (increasing variance ) resulting from the implementation of macroprudential policy on  monetary policy objectives was examined.The results show that with the occurrence of shocks, the implementation of loan-to-value ratio requirements does not conflict with production and inflation, and with more response of this tool, the variance of production and inflation reduced monotically, indicating a complementary relationship of this macroprudential tool with monetary policy objectives. Therefore a policymaker can use this macroprudential tool with less concern.However, the requirement of countercyclical capital buffer after the occurrence of these shocks is initially in conflict with price stabilization and output, which with a more severe reaction of this macroprudential tool reduces inflation and output fluctuations and reduces its adverse side effects. However, the exception is the variance of inflation in the monetary policy impulse, which increases with the intensification of the loan-to-value ratio, and with the intensification of countercyclical capital buffer,inflation is initially decreasing and after reaching its minimum value, it rises. . The results of this study can be useful for how macroprudential and monetary policies are organized and how to coordinate between these two policies.

This paper investigates the effectiveness of monetary policy in recession and expansion periods of business cycles in Iran. It uses the distribution of price changes over time using micro-data of producer and consumer price indices from March 2004 to March 2007 and March 1990 to March 2017. Results show that the observed distribution price changes at the producer and consumer levels change significantly over time. Whereas price flexibility (or, similarly, price stickiness) is closely related to the impact of monetary policy, the variable distribution of price changes over time suggests that the effectiveness of monetary policy should also change over time. We estimated the related parameters using the Ss model and the observed facts from the distribution of price changes, the price flexibility index, which shows how prices react to a monetary policy shock. The correlation coefficient and regression analysis results showed that the price flexibility index is counter-cyclical; this means that during periods of economic recession, the index of price flexibility increases. Therefore, the impact of monetary policy on real output decreases. However, during periods of economic expansion, the impact of monetary policy increases.

The Key Role of the Oil Industry in the Iranian Economy Has Caused the Shocks in This Industry to Affect the Entire Economy. In this Study, We have investigated the Effects of Oil Price and Production Technology Shocks on Macroeconomic Variables by Designing a Dynamic Stochastic General Equilibrium (DSGE) Model. This Model Includes the Household, Firm, Oil, National Development Fund, Government, and Foreign Sectors and the Data of the Years 1352-1396 have been used to Estimate the Parameters. The Results have shown that Oil Price and Technological Shocks have a Positive and Significant Effect on Oil Investment, Employment, Consumption, Government Expenditure, and a Negative Effect on non-oil Investment and GDP. According to Negative Consequence of Oil Price and Technological Shocks on Macroeconomic Situation, Oil Revenue Weaken non-oil Sector. Contrary to Technological Sock, Oil Price Shock has a Negative Impact on Oil Production and Export. The Macroeconomics Mechanism explains that at First Steps Inflation Would Stable Due to the Inflow of Oil Revenues and Increased Imports but then it will Increase Due to High Liquidity.

Over the last decades the research on monetary policy has largely concentrated on the impact of monetary authorities’ decisions on inflation and the fine-tuning of the macroeconomic, so that distributional effects of monetary policy which are non-trivial has been ignored. A view that has become increasingly popular since the financial crisis 2008 is that expansionary monetary policy can exacerbate inequality. There is some recent empirical evidence that even in an era of low inflation rates; monetary policy shocks have persistent effects on the distribution of income and consumption across households. However, there has been little formal analysis of “winners" and “losers" from monetary policy. This paper investigates the distributional impact of monetary policy using the data of the Iranian economy based on the Dynamic Stochastic General Equilibrium Models (DSGE) approach. In this framework, the monetary shock via heterogeneous earnings channel effects two typical household’s income and consumption distribution. As the monetary shock have different effects on the consumption and income of each of typical households relying on model’s results, so the distributional effect of monetary policy is confirmed, the reason that monetary authorities must consider distributional effects of their policy besides other goals. The micro-based approach of study is the paper innovation which has been done for the first time in Iran.

The present study investigated the effectiveness of monetary policy and its consequences for financially included and excluded households using a calibrated new Keynesian dynamic stochastic general equilibrium (DSGE) for Iran. The impulse response function analysis suggests that although a significant part of the population is financially excluded (about 45%), the contractionary monetary policy shock significantly reduces inflation and GDP. In addition, a contractionary monetary policy decreases the consumption of financially excluded households more than that of financially included households, because financially included households can absorb this shock due to access to financial instruments (services) and can, therefore, smooth their consumption more effectively than financially excluded households. The comparison of the results obtained from our model with the full financial inclusion model suggests that expansionary monetary policy in full financial inclusion leads to higher output growth with lower inflation costs. Therefore, efforts to ensure full financial inclusion are recommended so that monetary policy can fully achieve its goals.

The present study simulates and compares three types of pension systems, DB-PAYG, Full Funded and Defined Contributions, and their impact on Iran’s macroeconomic variables. For this purpose, the General Equilibrium model of Overlapping Generations is designed based on the variables of the Iran economy.  The results showed that the Full Funded pension system performs better than other systems in terms of capital stock, output and welfare. Also, among these three systems, the DB-PAYG system has the lowest amount of capital stock, output and welfare. Therefore, changing the current pension system of the country to a Full Funded pension system has been proposed as a reformed fiscal policy.

Security concerns motivate countries to allocate a significant portion of their financial resources towards defense spending. This renders the defense sector an important role which directly and indirectly affects its respective country’s economy, including that of Iran’s. The significance of this sector has been highlighted and emphasized in various upstream documents and programs of I.R.I. Using a dynamic stochastic general equilibrium model, the objective of this study was to examine some of the effects of defense spending on the Iranian economy, specifically, elucidating the effects of the governmental budget allocated to this sector on macroeconomic variables. The results indicate both households and firms positively benefit from exogenous government defense spending shocks. This matter is illustrated in growths in the GDP (including the oil sector), and also, the GDP excluding the oil sector. Even though in short-term defense spending means an initial decrease in consumption and private sector investment, in the long-term, business environment will improve due to enhancements in security which reduce economic uncertainty, which in turn leads to improvements and growth in consumption and private investment.

Increasing oil consumption efficiency in the household and production sectors, as well as improving oil production technology, are among the most important factors that can improve the economic situation of oil-rich countries. Therefore, in this paper, the effects of oil consumption productivity (demand shocks) and technological oil production shocks (supply shocks) on macroeconomic variables are investigated in the form of the Keynesian Dynamic Stochastic General Equilibrium model. Annual data for the years 1352-1396 have been used to estimate the model parameters. The results show that oil consumption efficiency shocks in the household and production sectors have a positive and significant effect on oil exports, oil investment, total employment, and government spending. However, the shocks of oil consumption efficiency in the household sector reduce oil production and household’s oil consumption and increase inflation, while the effect of the shocks of oil consumption efficiency in the production sector on these three variables is inverse. Also, technological oil production shocks have a positive effect on oil investment, oil production and export, non-oil employment, total consumption, government spending, and inflation, and in contrast, slightly reduce employment in the oil sector and oil consumption. Given that the above three shocks have positive effects on oil exports, oil investment, employment, government revenue, and even the level of consumption and non-oil production, appropriate planning and policy-making that stimulates consumer productivity and improves oil production technology should be on the agenda of policymakers.

The present study attempts to analyze the effect of the financial accelerator component on the business cycles of the Iranian economy by considering the financial friction in the process of obtaining bank loans. In addition, the inclusion of banks chr('39')capital adequacy ratio in the model enters the role of bankschr('39') balance sheets in the occurrence of financial friction in the Iranian economy. Weak credit rating of bank customers in Iran makes it possible to use a document-based approach to properly understand the financial friction in the credit system, instead of using the inspection algorithm of lending banks and covering their costs through different interest rates. For this purpose, a dynamic stochastic general equilibrium model (DSGE) is designed in accordance with the structural features of the Iranian economy, and is estimated using the Bayesian approach and seasonal data in the period 2009-2020. The results indicate that taking the financial sector into account leads to a more accurate understanding of the fluctuations of business cycles in the Iranian economy. This is determined by comparing the instantaneous reaction functions of the main variables of the model in two scenarios with different degrees of financial friction. The results of the study also show that the changes due to the financial accelerator component in the impact of monetary shocks and productivity are more noticeable than other shocks.

After the imposed war, Iranchr('39')s economy has seen two relatively successful experiences in controlling inflation. These two periods include the final years of the Third Development Program and the Joint Comprehensive Plan of Action (JCPOA) term. This is while we are seeing a relatively high inflation rate in other periods. In this paper, based on literature on monetary rules and using a Time-Varying Parameter Bayesian Structural Vector Auo Regressive (TVP-BSVAR) Model with stochastic volatilities, we study a rule-based monetary policy or a systematic monetary policy and a non-systematic monetary policy (based on the stochastic volatilities of monetary shocks). The results indicate that in addition to the systematic monetary policy obtained from the model, the success of monetary policymakers in controlling inflation is not only due to inflation control per se (thst is systematictic) but also for non-systematic reasons such as fiscal policy through fiscal discipline and oil revenue management by both monetary and fiscal policymakers that does not fit into the framework of systematic monetary policy.

Explaining economic stylized facts with general equilibrium models requires considering some assumptions about relationships that are as realistic as possible. Assumptions about nominal rigidities such as wage and price stickiness are the main principles of general equilibrium models that should be determined based on the agent's behavior in the studied case. This paper addresses the question of whether introducing the wage stickiness into the Iranian economic model can improve the model fitting. Also this paper is aimed to find out which price and wage adjustment models are more consistent with the stylized facts of the Iranian economy. In this order, we consider three alternatives for wage stickiness (model without wage stickiness, simple wage stickiness, and wage stickiness with indexation) and three models for price stickiness (Calvo with Indexation, Information Stickiness Model and Dual Price-Information Stickiness), and design 9 DSGE models based on these alternatives. Then we evaluate and compare DSGE models with three different benchmarks (Baysian Model Comparision, Impuls Response Function Comparision, and comparing the degree of inflation persistency). The results show that introducing wage stickiness in the models make the models more consistent with the stylized facts of the Iranian economy, including the inflation stability and inflation inertia. Also, considering the wage indexation in the models improves model performance based on the inflation persistency benchmark

Since DSGE models do not have a closed-form solution, the model should be approximated around the steady state. The question that arises is whether this approximation should be around a deterministic steady state or a stochastic one? This study, usinng a modified new Keynesian model for Iran, considers oil price and production uncertainties. The results indicate that stochastic steady state and higher Taylor approximation can better explain the Iran's economy. Also, the results show that the level of consumption, private investment and GDP in the stochastic steady state is less than the deterministic steady state, while the government consumption and investment in the stochastic state are higher than the deterministic steady state. The impulse response function also show that the response of economic variables to different shocks in the stochastic steady state is less than that of deterministic steady state. JEL Classification: E32, E37

Information and Communication Technology (ICT) is needed as a powerful technology for process optimization and therefore its impact on intensity of energy consumption has been studied from various perspectives, but the impact of this technology on intensity of energy consumption is ambiguous. Measuring, monitoring and analyzing energy consumption for awareness in saving energy is a key issue based on ICT applications. This study seeks to investigate the impact of information and communication technology by using the Iran's industries by 4-digit ISIC codes, over the period 2007-2017 on energy intensity. Due to the nature of the data, the model has been estimated by GLS method. The results indicate a negative and significant relationship between per capita ICT capital and energy consumption intensity and the relationship between per capita total capital and energy subsidy variable is positive and significant. In this study, the negative and significant effect of firm size on energy intensity has been achieved and the effect of research and development costs intensity on energy intensity is not significant.

Consequent to the financial crises, nominal feedback rules received considerable attention consideration from many of the monetary authorities in many countries. The innovation of these rules is a feedback mechanism that allocates precise adjustments to the monetary policy instruments where target variable deviates from its desired path. Mc Callum's rule can be taken as one of the most prominent feedback models in monetary economics. In the present study, the experimental behavior of the policymakers in the Iranian Central Bank will be investigated applying nonlinear Mc Callum's rule in the period of 1368:4 (1990:1) to 1396:4 (2018:1) using Markov-switching model. Considering that the Iranian Central Bank does not announce the precise production and inflation targets, the model estimation will be carried out based on the assumption of unobservable target variable. In this regard, for estimation of the two unobservable variables of nominal production growth and inflation, Bayesian Kalman filter will be employed. Then model will be stimated with markov switching approach in different rejime. The analysis of the model coefficients shows that the central bank during the recession assigned more weight to the nominal output growth variable and in the boom period more weight was assigned to the inflation gap variable. This illustrates the correct response of the central bank of Iran to these variables base of theoretical expectation. Therefore, in this paper and base on estimation results of nonlinear McCallum rule, the asymmetric behavior of the central bank with respect to the monetary reaction function is confirmed.

Over the past three decades, the use of fiscal rules in the budgeting of countries has become increasingly widespread, with only five countries using central government fiscal rules in the 1990s, but today the number of countries with national rules and It has reached more than ninety countries. The purpose of this paper is to introduce and select the appropriate budget balance rule for the Iran economy and based on DSGE modeling approach considering the three structural budget balance, budget surplus and countercyclical rules. Has been used. The results show that due to a productivity shock, the policy loss function is minimized using the budget balance rule and in the case of an oil shock (price and technology) the countercyclical rule, taking into account the tax revenue gap. One of the most important suggestions of this paper is to consider the issue of rules within the framework of reforming the budgeting system in the country.

This paper models the assets and liabilities of the Social Security Fund in Iran. The fund's financial position in practice is influenced by the population dynamics between two generations of employed and retired people, focusing on four important characteristics: the premium rate and pension benefits of the working and retired generation, the two-generation employed and retired population pyramid, the employment generation period and the retirement period. In this study, an overlapping generation model is designed to show the dependence of the stability of the fund on the generational population and the transitions between generations taking into account such characteristics. The simulation results show that although the ratio of assets to liabilities can be potentially high, the gap between assets and liabilities of the fund is so high that any of the proposed policies alone cannot close the gap and ensure its stability. Therefore, policy implication s to stabilize the fund's assets and liabilities can be proposed in two scenarios. The similarity of both scenarios is that the government first pays its share of the insurance and secondly increases the premium rate to 10%, with the retirement pension being reduced by 50% in the first scenario and 10% in the second scenario. The results of the analysis show that the improvement of the fund stabilization is mainly dependent on the decrease in retirement pension, which can be stabilized in a certain time horizon.

In the dynamic stochastic general equilibrium (DSGE) literature, there is an increasing awareness of the role that the banking sector can play in macroeconomic activities. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). Following a positive technology shock, the deposit rate declines slightly and this shock gradually increases the output, consumption, and net worth, After the shock, the lending banks reduce and a substantial decline occurs in the excess bank capital. This is because banks prefer to rely on cheaper funds from the central bank. The markup wage and price shocks naturally induce an increase in the markup, which is associated with a fall in real output and real wages, As expected, a positive shock in markup has a significant negative effect on the investment, consumption and net worth. Following a monetary shock, the investment, employment and inflation rate decreases, the willingness to deposit increases, and consequently the nominal deposit rate decreases. Finally, the shock of the government expenditure increases prices, wages, nominal rates and the net worth of financial intermediaries.

In recent years, the use of fiscal rules to influence fiscal policy and macroeconomic has been expanding in economics literature, so that many countries have various fiscal rules to manage macroeconomic stability and prevent extreme budget deficits. In Iran, this has started from the Fifth Development Plan with the allocation part of the oil revenues to the National Development Fund, but in recent years it has not been able to achieve its goals of stabilizing the economy. In this study, using a Dynamic Stochastic General Equilibrium (DSGE) model, the appropriate rule for Iran is examined using three scenarios: baseline, revenue fiscal rule and budget balance rule. The results show that the budget balance rule can have a suitable performance considering the structure of Iran as an oil exporting country and minimize the policy-making loss function.