جستجوی مقالات مرتبط با کلیدواژه « vector autoregressive model » در نشریات گروه « علوم انسانی »

Resolving problems resulting from stagflation conditions accompanied with low economic growth and slow employment growth needs some policies that one of them can be unconventional monetary policy. Thus, this paper proposes to evaluate the effects of unconventional monetary policy shocks using VAR with a new method called sign restrictions. To this aim, it were estimated the effects of three variables ordered as real interest rate, inflation and gross domestic product by imposing positive and negative restrictions on these variables for the period 1961-2021. In this paper, the results of model estimation and impulse response functions is done by identifying and estimating parameters on the basis of imposing negative sign on interest rate according to unconventional monetary policy shocks. Results indicate that decreasing in interest rate causes increasing in GDP. Unconventional monetary policy can raise liquidity in stock market. It also support people by low interest rate loans for production with less cost and less sale price in Iran. Therefore, unconventional monetary policy can be a useful policy for resolving stagflation occurred current years in Iran.Extended Abstract:IntroductionThe global financial crisis(GFC) marked the transition from what many had labelled the period of “Great Moderation” to that of the “Great Recession”. The stress experienced by the financial sector starting in the summer of 2007 put an end to several years of robust growth for the world economy accompanied by moderate inflation rates across most advanced market economies. Across a number of countries, financial intermediation halted, with the peak of the stress manifesting in the final quarter of 2008. Unemployment increased and inflation dropped below central banks’ target levels as economic activity receded sharply. The recovery from the deep recession was also slow in many jurisdictions, with tepid economic growth, sluggish employment growth and subdued inflation. The challenges posed to monetary policy during this period were severe and pushed central banks to resort to actions departing from their established policy frameworks.The set of policy interventions introduced during this period has been labelled as unconventional monetary policy in order to distinguish it from the conventional pre-GFC policy measures. Some unconventional monetary policies were designed to affect term spreads such as long-term risk-free rates, while others were directed at influencing liquidity and credit spreads such as interest rates on various non-risk-free instruments. One of the most important tools in unconventional monetary policy is negative interest rate policy (NIRP). The adoption of negative policy interest rates in the aftermath of the GFC was new. Identification of shocks is one of the most important issues in econometrics for interpreting their impact on themselves and also other variables. Therefore, in case of unconventional monetary policy, VAR model is applied for identifying shocks. In the research, it was identified different shocks using sign-restriction approach in Iran for the period 1961-2021.

Whenever changes in economic variables cause to change the risk or return of one type of investment, other forms of investment will also change. Understanding the factors affecting the stock market can help to direct capital and improving investment decisions. Monetary policy is one of the factors that affect the stock market through different channels. If the effects of monetary policy on stock prices are known, policies can also be effectively and consciously pursued to achieve macro goals and economic stability. In this paper, the contribution of each channel to the spread of monetary policy effects on the price index of Tehran Stock Exchange is investigated. For this purpose, the vector autoregressive model and seasonal data over the period 1997-2017 were used.The results show that monetary shocks affect the price index of Tehran Stock Exchange but are not a determinant factor. The results confirm that the greatest effect of money supply is caused through the exchange rate and credit channel.

The determinants of the current account balance are among the most important issues in open economies. Identifying the determinants of this balance in the short and long runs is of importance for policy makers. The function of the current account balance involves important information about an economy’s performance. It also provides valuable macroeconomic policy recommendations. There are several theoretical models existing in the literature to explain the behavior of the current account balance. Each of them makes different predictions about the elements determining the balance as well as the sign and magnitude of the relationships between the current account fluctuation and its determinants. First, its significance stems from the fact that the current account balance, reflecting the saving-investment ratio, is closely related to the status of the fiscal balance and private savings which are the key factors of economic growth. Second, a country’s balance on the current account is the difference between its exports and imports, reflecting the totality of domestic residents’ transactions with foreigners in markets of goods and services. Third, since the current account balance determines the evolution of a country’s stock of net claims on the rest of the world over time, it reflects the intertemporal decisions of (domestic and foreign) residents. Consequently, policymakers try to explain current account balance movements, assess their sustainable levels and induce changes to the balance through proper measures.

In the present paper, we examine the determinants of the current account balance in Iran based on a cointegration approach and a vector error correction model using seasonal data for 1981-2016. It is also estimated for the selected Asian countries. The initial aim of the empirical research is to identify the main (short- and long-term) determinants of the current account deficits. Following previous theoretical and empirical studies, we estimate a model. The objective of this paper is to examine both the long-run and short-run impacts of the initial stock of net foreign assets, degree of openness to international trade, real exchange rate and relative income on the current accounts for eight selected emerging Asian economies since the 1980s. Four sample economies are Iran, China, India and Korea. Based on the preliminary analysis of the data presented in the last section, all the variables in this study are non-stationary and follow a process. As a general rule, non-stationary time series should not be used in regression models in order to avoid the problem of spurious regression. However, Engle and Granger (1987) pointed out that a linear combination of two or more non-stationary series may be stationary. If such a stationary linear combination does exist, the non-stationary time series are said to be co-integrated, and the stationary linear combination can be interpreted as a long-run equilibrium relationship among the variables.Given the above considerations, we used the co-integration test proposed by Johansen and Juselius (1990), which is a vector-based autoregressive approach, to examine the underlying co-integrating relationships among the variables specified. Given the non-stationary nature of the data used in this study, this paper adopts a co-integrated VAR approach to analyze current account balances and a set of macroeconomics determinants. Johansen and Juselius’ (ibid) co-integration test is first applied to detect the co-integration between current account balances and potential explanatory variables within a VAR framework. In the presence of co-integration, the long-run impacts of all the explanatory variables of current accounts are analyzed based on the estimated co-integrating parameters, while the short-run impacts of all the explanatory variables of the current account are investigated according to the estimation of the vector error correction model (VECM). Compared with a single-equation residual-based approach, Johansen and Juselius’s test is superior in two main aspects. First, all the variables in the VAR system are assumed to be endogenous in the Johansen and Juselius’s test, even if some of them do not serve as dependent variables. As a result, it avoids the problem of normalizing the co-integrating vector on one of the variables or of imposing a unique co-integrating vector, as in the single-equation residual-based test (for example, the 2-step co-integration test by Engle-Granger, 1987). Second, Johansen and Juselius’s approach can address the multi-co-integration problem when there are more than two variables involved in the test, whereas a single-equation residual-based test is only able to find one co-integrating relationship despite the number of variables involved in the test. This second advantage of Johansen and Juselius’s test is especially important to this study given that there are five variables involved in the analysis of current account behavior. The power of Johansen and Juselius’ test is greater than that of the EG test. For all these reasons, this study applies Johansen and Juselius’ test to explore the co-integrating relationship(s) between the current account balance and the explanatory variables.

The results indicate a long-term equilibrium relationship between the current account balance and such determinants as net foreign asset variables, the degree of openness of the economy, and internal production. In the short run, in addition to the mentioned variables, the effective real exchange rate has a weak effect on the current account balance of the sample countries.

Since several studies have highlighted the part played by large current account deficits in the run-up to financial crisis episodes, a considerable body of research has been done on current account determinants recently. Although the selected Asian countries have been facing turbulent current account dynamics over the past three decades, they have not been the subject of enough empirical studies. In this respect, the current paper seeks to fill in this gap in the empirical literature by assessing a wide range of (short- and long-term) determinants of the current account balance as suggested by the (theoretical and empirical) literature. The empirical results are in ways consistent with previous theoretical and empirical studies.

The most important issue for policymakers in optimal policy-making is to choose the tools that bring the equilibrium output to the desired level, with the least volatile income fluctuation. The main purpose of this paper is to investigate the effects of favorable fiscal policies on social welfare and business cycle management for the Iranian economy with respect to government spending shocks, monetary shocks and productivity shocks. Therefore, using the Vector Autoregressive Model (SVAR) and Hudrick-Prescott, we investigate the role of government, monetary and financial spending shocks on production and consumption representing business cycles and social welfare in the time period of 1971-2018. The results indicate that the highest growth in as an indicator consumption and welfare is due to the growth of productivity shocks, and then monetary shocks to some extent, but government spending shocks have a diminishing impact on consumption and welfare, which represents the phenomenon of crowding.

This study is aimed at investigating the impact of oil price and exchange rate uncertainty on stock returns in Tehran Securities Exchange (TSE). To this end, "oil price uncertainty" and "exchange rate uncertainty" were considered as independent variables and "return on stocks" as the dependent variable. The daily data on the price of heavy oil, the official exchange rate and TEPIX (Tehran Exchange Price Index) are used from 1 January 2002 to 31 December 2012.Due to the nature of time-series data and the type of the study, to evaluate the impact of oil price and exchange rate uncertainty on stock returns, the uncertainty was measured using Whitening Linear Transformation method and was estimated using the Vector Auto Regressive model.The results of the estimations of the model and the uncertainty obtained from the Whitening Linear Transformation method showed that there has been a significant relation between the uncertainty of oil price and stock returns and another between the uncertainty of exchange rate and stock returns. Thus, the hypothesis of this study were confirmed by the error level of 0/05.

Economic knowledge about the channels of monetary policy affecting the stock price index helps central banks to improve their assessment of economic conditions. Also, understanding the relative importance of transmission channels allows monetary authorities to foresee the outcomes of this mechanism, thus they can direct the monetary policy through the desired channel. In order to achieve this aim, a vector autoregressive model and seasonal data from 1997 to 2017 have been utilized. The results reveal that the monetary policy can influence the Tehran Stock Exchange price index, but it can not be taken as a determinant variable. The findings confirm that as a result of monetary base shocks, on average, exchange rate channel and asset price channel have the largest share in transferring monetary effects respectively, and credit channel has the least share in the stock price index.

In this paper, the effect of subsidy on the long run urban water demand function has been examined in the city of Qom. To do this, the researchers have used monthly time series data during 2008:01-2011:06. The model estimated is based on the maximization of Stone - Gery utility function, autoregressive and co-integrated model approaches. The results indicate that the decrease or removal of water subsidy would decrease urban water demand. Also, Qom urban water demand has a negative relation to the price of water and other commodities and has a positive one to the revenue. All of these relationships are completely in line with economic theories. The province urban water demand is inelastic to water and other commodities prices and so a necessity for revenue. Also, the minimum level of water consumption of the households, when removing the price subsidy, is 38 liters per day.

Financial system Development and private investment growth are both as the accelerator of the economic growth. This implies that these two factors can increase economic growth through enhancing each other. In this study we examine if there is such interaction and significant relationship between financial development and private investment in Iran economy. According to the findings of the cointegration tests, there is a statistical significant relationship between financial development and private investment in economy of Iran in long term but not in short term. This means that private investment requires a developed financial system that preserves it’s stability during a long period. Furthermore, if the private investment experiences a stable growth trend in a long term, then it can increase financial development.

This paper provides a discussion of the housing market channels of the monetary transmission mechanism. We use quarterly data from 1992-2008(2) to estimate a VAR model. Applying a two-stage approach, we first identify the effects of monetary shocks on housing prices, and then we investigate the relative role of the policy-induced fluctuations in housing prices on private consumption. We find that the housing prices are significantly affected by the monetary policy shocks. Findings show that housing prices enhance the effects of monetary shocks on consumer spending through wealth effects and balance sheet effects of housing price, which dominate its saving effect.

The effects of various banking policies on financial sector development will be practically studied in this paper. To do so, a vector auto regressive econometric model in the framework of homo cumulative model has been used. In order to study the affecting methods of each variable on financial sector development, generalized response functions has been used. The results show that inflation rate has a significant negative long term on financial (banking) sector, while per capita income has a significant and positive effect on financial development. In addition, financial development index rises because of financial freedom and the increase of per capita income while, inflation rate shock decreases financial freedom index and prevents its development.