جستجوی مقالات مرتبط با کلیدواژه "الگوی خودرگرسیون برداری آستانه ای" در نشریات گروه "اقتصاد"

The effect of exchange rate changes on the general level of prices is one of the major issues in macroeconomics and has important results for the monetary policy maker. With respect to these two variables in Iran's economy, modern econometric approaches can provide new insights. In this regard, using the threshold vector autoregressive model, the present study attempts to investigate the nonlinear exchange rate pass-through in Iran during 1369:1 – 1397:4. The results show that pass trough of exchange rate to the general price levels depends on the amount of inflation (inflationary conditions and its threshold). If seasonal inflation exceeds from 5.48%, the exchange rate shocks has lower effect on inflation. The results show that, exchange rate shocks have a severe effect. Due to the lack of inflation targeting policy in the Iran’s economy, the impact of exchange rate shocks on inflation is lower in values below the level of 5.48%. Accordingly, in inflation rates below the threshold, monetary policy has less freedom of action and the goals of reducing inflation and exchange rate policies need to be taken into account simultaneously.

Inflation affects the state budget in both ways. Inflation, on the one hand, decreases the purchasing power of tax revenues, which is known as the tension effect. On the other hand, the inflationary burden of government expenditures and its obligations actually decreases, which is known as an antithetical effect. Meanwhile, it should be noted that inflation also affects the budget deficit of the state. In the present study, using a discrete wavelet converter with maximum matching and a vector of autoregressive vector autoregression, the interaction effects of inflation and deficit of government in two cases of deficit and total deficit in the economy of Iran in 1396: 1369: 1 is reviewed from a new angle. Results based on the wavelet converter show that in horizons for more than 8 years, the causal relationship is between the two types of budget deficit with bilateral inflation. Based on the results of the estimation of the autumnal regression model, the threshold vector in seasonal inflation is less than 5.7% of the total budget deficit in the face of inflationary swings, which reflects the dominance of the anti-tensile effect of the Tensi Is. In addition, the operating deficit, regardless of the situation, is from the threshold of positive reaction to the swing momentum.

Non-oil exports are one of the important requirements in the Iranian economy. In this regard, currency depreciation is one of the ways to achieve this goal. The purpose of the present study is to provide a new insight into the way the exchange rate influences the inflation of non-oil exports. For this purpose, a threshold vector autoregression model was used to study the non-linear issue of exchange rate fluctuation in 1376:2-1395:4. According to the results of the research, the exchange rate shocks is associated with a positive response to the inflation rate of non-oil exports goods. Nevertheless, the impact of the shock before and after the 0.8% seasonal inflation is different. So that if inflation of exported goods exceeds the threshold, it will have a more positive reaction to the exchange rate shock. This result can be attributed to the dependence of the production process of Exported goods on imported intermediate goods. Accordingly, it cannot be expected that creating international competitiveness of non-oil exports with currency depreciation.

The main purpose of this article is to examine the effects of fiscal stimulus programs، government spending and tax cuts، on economic growth in Iran. For this purpose، output gap as a variable transition between regimes is defined and estimated using Hodrick – Prescott Filter (HPF) and its stationary is confirmed by augmented Dickey – Fuller test. So using Tsay yest (1998) and data years 1338 to 1391، while the investigation of non-linear (high threshold) fiscal stimulus programs effects and approval it، the threshold value of transmission variable also is estimated، the endogenous. Thus، based on a threshold value (-0. 00149) for the variable transmission، two regimes include: high regime (output gap greater than -0. 00149) and low regime (output gap less than -0. 00149) are considered. Finally، to evaluate the effectiveness of fiscal stimulus programs، threshold vector autoregresive model- assuming the possibility of switching between the two regimes and equality of disturbance terms variance in the two regimes - using R software is estimation and generalized impulse response functions are derived. Results indicate that in two regimes of high and low، reduction tax revenues and increasing government spending multipliers are positive. However، increasing government spending multiplier in low regime is greater than upper and regime reduction tax revenues multiplier in upper regime is greater than low regime. Accordingly، the fiscal stimulus multipliers in Iran is dependent on regime change based on output gap variable.