جستجوی مقالات مرتبط با کلیدواژه "tvp-var" در نشریات گروه "اقتصاد"

According to the economic literature, the exchange rate is one of the important channels of money transfer, so that changes in the exchange rate play an important role in creating the competitiveness and uncertainty of the economy. This can put monetary policy changes on inflation and production growth under different conditions in different conditions. In this regard, this article has investigated the role of exchange rate in the effect of money on inflation and gross domestic product growth by using the seasonal time series data of 1370-1400 and using the time-varying auto-correlation parameter method (TVP-VAR). The results of this study show that the lower the variance of the exchange rate growth, the more effective the monetary policy is in curbing inflation. On the other hand, if the average growth of the exchange rate is close to the growth of the monetary base, then the monetary policy will increase production. Also, if the exchange rate grows more than the monetary base, inflation increases and GDP growth decreases. The results of this research confirm that the growth of the monetary base more than the economic capacity leads to an increase in inflation and a decrease in production growth, and this inflationary process leads to an increase in the exchange rate. In such a structure of the economy, where high money printing is a prominent feature, the suppression of the exchange rate provides the basis for increasing the currency jump, and the currency jump is an important factor in strengthening the recessionary inflation in the economy. Therefore, the policy recommendation of the present study is to reduce the growth of the monetary base and not to manipulate the exchange rate

As Stern et al (2019) argued, energy is considered an important determinant of sustainable economic growth. Energy sources meet the needs of various sectors such as industry, modern agriculture, commerce, transportation, etc. Therefore,electricityconsumption (energy consumption) is vital for the growth of an economy.Electricity is the backbone of today's industrial and consumer economies. Its share in the energy mix is increasing due to increasing per capita income, electrification of transportation, use of electronic devices, and demand for consumer and industrialproducts. However, developed countries are moving towards energy efficiency technology to offset the increasing demand for electricity and its effects (Bildirici et al., 2012). Discussions about the relationship between economic growth, energy consumption and some macroeconomic variables have been high among researchers and policymakers in recent decades (Ehigiamusoe and Lean, 2019; Ehigiamusoe et al., 2020). The aim of our study is to examine the dynamics of the relationship between electricity consumption, ecological footprint and real GDP in Iran by dividing GDP into oil GDP and non-oil GDP. The logic behind this is that Iran's growth model is dependent on oil exports and public sector spending, with no diversification of oil revenues to ensure sustainable development. In fact, although Iran's successive development plans have emphasized the diversification and promotion of the non-oil private sector as a priority goal, today this goal can be achieved by reducing dependence on oil. Our aim is to provide a comprehensive review of energy consumption-environment-GDP dynamics with oil on one hand and energy-environment-GDP non-oil dynamics on the other hand. Therefore, we address the dichotomy between the oil and non-oil sectors and its consequences on the efficiency of energy policies and sustainable development.

This study uses the Vector Auto-Regressive model of time-varying parameters (TVP-VAR) to examine the inter-temporal dynamics between Iran's real GDP (oil, non-oil), electricity consumption and ecological footprint during 1967-2018. The results show that the TVP-VAR model is useful for examining the dynamics of the relationship between electricity consumption, real GDP and ecological footprint.

The results show that the reaction functions of GDP with oil to positive shocks of environmental effect and electricity consumption are significantly different over time. Similar results exist for the impulse responses of the environmental effect to the positive shock of electricity consumption and GDP. We find the positive response of GDP to electricity consumption before 1978, negative between 1979 and 1991 and after 2003. The reactions of domestic gross production to environmental impact shocks between 1979 and 1986 are negative in the 8th and 12th period horizons and positive in other periods.The shock response of energy consumption to GDP is positive in four periods during 1981 to 2006 and is negative in other years. It is negative in the 8-period horizon between 1976 and 2004, as well as in the 12-period horizon between 1971 and 1999 and positive in other years.In relation to the response functions of the environmental impact of GDP and energy consumption in the horizon of 4 periods, the effect is positive, but it is positive in the horizon of 8 periods except for the years 1994-2000 and in the horizon of 12 periods except for the years 1979 to 1999 positive effects are observed.

The results show that regimes with high and low volatility of real GDP (oil and non-oil), electricity consumption and environmental impact shocks have asymmetric effects (positive or negative) on these variables. In particular, the high fluctuations in electricity consumption during 1980s, 2000s, and 2010s likely affect real oil GDP and the environmental effect, negatively, But negatively, it leads to a decrease in real non-oil GDP growth. In the 1981s, 2001s, and 2011s, low volatility of electricity consumption had a negative impact on environmental impact, and low volatility of real oil and non-oil GDP had a positive impact on environmental impact.In addition, real oil GDP fluctuations in the 1980s and 1990s both have positive effects on electricity consumption. The low real non-oil GDP fluctuations likely have positive effects on environmental effect, and real non-oil GDP fluctuations have positive effects on electricity consumption, but high real non-oil GDP fluctuations have negative effects on environmental status.

One of the most vital concerns of economists and policymakers is finding the root of economic fluctuations and minimizing them. The political situation in Iran, the existence of economic sanctions, and uncertainty in the economy have caused severe fluctuations in the exchange rate market during the last few decades. The main goal of this research is to investigate the effect of macroeconomic uncertainty and political risk on the fluctuations of the foreign exchange market in Iran from 1991 to 2020 using the vector autoregression method with time-varying parameters (TVP-VAR). To achieve this goal, the macroeconomic uncertainty index was first measured using seven economic sectors, including production, energy, price, monetary and credit variables, currency and foreign trade, and financial and stock market variables. The results of this research indicate an increasing and very strong effect of the macroeconomic uncertainty index on exchange rate fluctuations in Iran. On the other hand, political risk has had an increasing effect on exchange rate fluctuations in Iran, except during the nuclear agreement period (2014 - 2017). Moreover, other results of the research indicate the increasing and very strong effect of housing price fluctuations and gold price fluctuations on exchange rate fluctuations in Iran, while stock market fluctuations have a decreasing effect on currency market fluctuations in Iran.

In this article, the effects of oil revenue shocks on the constituent components of the government's expenditures during the period of 1990/04 to 2018/04 and tax revenues during the period of 1993/01 to 2018/04 in Iran are investigated. In this regard, in order to consider the structural instability in the parameters, time-varying parameter generalized vector autoregression (TVP-VAR) models have been used. Based on the results obtained from the first model of the research, the impact of oil income impulses on defense expenditure is estimated to be positive. Although the said effect quickly disappears in the later periods. Therefore, it can be said that the impact of oil revenue impulses on government defense expenses is temporary. Also, the effect of impulses on economic and social affairs expenditures is estimated to be positive. The impact of oil income impulses on public affairs expenses was initially positive, but it gradually decreased and reversed in later periods. The results of the second model of the research, in which the impact of oil revenue shocks on direct and indirect tax revenues is investigated. The impact of oil revenue impulses on direct tax revenues from the positive range is quickly placed in the negative range. On the opposite point, the impact of oil income impulses on indirect taxes starts from the negative range and then quickly moves to the positive range. Also, the impact of oil revenue impulses on indirect taxes can be considered positive.

Economic growth is one of the headmost aims of developing and developed countries. Increasing economic growth can increase public welfare, reduce poverty and reduce unemployment. Recognizing the factors affecting economic growth is essential and undeniable, but distinguishing the obstacles to economic growth can be far headmost and effective. Risks are among the most influential and vital factors affecting economic growth. Economic and non-economic risks are consequential obstacles to economic growth. Iran is constantly exposed to various risks due to its geopolitical situation in one of the turbulent regions of the world, the Middle East. The main aim of this paper is to investigate the impact of operational risk on economic growth in Iran during 2014Q1 – 2021Q4 using the time-varying parameter vector auto-regressions (TVP-VAR). This research uses operational risk for the first time, with four main sub-indices: i.e., labor market risk, trade and investment risk, logistics risk, and security-crime risk. The results of this research show that the improvement in operational risk and its sub-indices has a positive effect on economic growth in Iran. Furthermore, international sanctions have an immense impact on operational risk and, consequently, have a negative impact on economic growth. Nevertheless, policymakers are suggested to reduce Iran’s international tensions, concretely, the countries that have an extensive impact on the world’s economy to improve the operational risk, increase foreign investments, improve the business environment, reduce the cost of trade and business transactions, and, as a result, provide the country’s economic growth and development.

Financial instability refers to a situation in which the economy has suffered losses and problems under the influence of asset price fluctuations or the poor performance of financial institutions in fulfilling their obligations. Fluctuations in asset prices and performance in the country's financial markets have led to the spread of instability and this has shown the weak financial depth in the country's financial markets. Based on this, the main goal of this paper was to investigate the effects of financial instability on macroeconomic variables in Iran. For this purpose, the statistical information of the period 1983-2022 has been used based on the frequency of annual data. In order to model the effects of financial instability on macroeconomic variables, the time-varying parameters vector autoregression (TVP-VAR) was used. The financial instability shock was extracted and calculated through the measure of financial conditions based on the combination of interest rate, inflation rate and exchange rate, and was modeled with the autoregressive conditional heteroskedasticity. In this study, results determined that there is a correlation between financial instability and macroeconomic variables. The results showed that the shock caused by financial instability led to an increase in the interest rate, inflation rate, exchange rate and liquidity growth and also led to a decrease in the growth of consumption, investment and GDP. According to the obtained results, it can be stated that financial instability has caused instability in economic growth by creating inefficiency in the allocation of resources and non-optimal allocation of resources and disrupting the movement of financial resources from savers to investors. As a result, it causes disturbances in macroeconomic variables.

The current research's main aim is to investigate globalization's impact on industrialization in Iran from 1979 to 2020 using vector autoregression model with time-varying parameters (TVP-VAR). The industrialization and economic globalization indexes have been used to achieve the research purpose. On the other hand, foreign direct investment, government size, and gross domestic product per capita have been used as control variables. This research illustrates that economic globalization has a very positive effect on industrialization in Iran. As a result, it is suggested to the policymakers to reduce international tensions between Iran and other countries to augment globalization, increase the import of new technologies and amplify industrialization. On the other hand, foreign direct investment has a very positive effect on industrialization in Iran. Moreover, GDP per capita has a positive but less intense effect on the industrialization index. Finally, the size of the government has a very negative impact on industrialization in Iran. As a result, policymakers are suggested to consider globalization as a critical and vital factor in increasing industrialization in Iran.

The relationship between causation of energy use and economic growth is one of the important issues of energy economy, which has been studied extensively. However, previous studies in Iran have ignored the nonlinear behavior of these two variables, which can be as a result of structural failures. In this research, the self-monitoring regression model of time parameters with probability fluctuations (TVP-VAR) is used to determine the inter-annual dynamics between the real GDP of Iran (oil, non-oil), electricity consumption, and greenhouse gas emissions in 1972-2014. The results show that the TVP-VAR model is used to study the dynamic relationship between power consumption, real GDP, and greenhouse emissions. In addition, analyzing the successive responses of GDP time, energy consumption, and greenhouse gas emissions to structural shocks suggests that these responses depend on the severity of GDP structural fluctuations, power consumption, and greenhouse gas emissions. In fact, the existence of a one-way non-linear relationship has led to economic growth as a result of energy use. This finding means that decision-makers should consider the fluctuations of real GDP, electric shock, greenhouse gas emissions, and the relationship between time-varying patterns of Real GDP, consumption electricity and emissions of greenhouse gases when deciding on energy policies.