جستجوی مقالات مرتبط با کلیدواژه « فیلتر هودریک » در نشریات گروه « اقتصاد »

Proponents of real business cycles emphasize the roles played by employment and technological cycles in creation of these business cycles. This study attempts to examine the effects of these cycles on creation of business periods in Iran during 1959 – 2014 period. To this end, first target cycles were extracted via Hodrick–Prescott filter and then these cycles were analyzed by employing Markov switching multifractal model.The results revealed that business cycles in Iran were asymmetric in the studied period and booming cycles were stronger and longer compared to recession cycles. They also revealed that capital accumulation, employment and productivity cycles were dependent, leading and concurrent variables, all three favoring the business cycles.Hsiao's Granger causality test also showed that capital accumulation cycles and business cycles had mutual causality. However, business cycles had unilateral causal relationships with two other variables. Therefore, generally speaking, the research findings indicate the significance of supply side variables in production changes and highlight the importance of these three variables in managing business cycles.

The short–term inflation dynamics and its cyclical interactions with real economic variables are basic issues in the context of monetary policies analysis. This study investigates and estimates the hybrid new Keynesian Phillips curve for Economy of Iran during 1971-2008. On this curve, the effective variables on current inflation would be future inflation, lagged inflation and GDP gap. This paper makes use of three Kalman, Hodrick- Prescott and band-pass filters to estimate GDP gap. There is a structural break in 1979 due to victory of the Islamic Revolution in Iran. Findings indicate that GDP gap has a significant positive impact on current inflation, which means the effectiveness of real variables, besides monetary policies, on inflation in the long-run. Our findings are consistent with other Phillips curve models, which confirm the effective role of output gap on current inflation. In addition, the coefficients of the expected inflation and lagged inflation variables are statistically significant, which indicate that firms look forward and backward in setting prices, but coefficient of expected inflation variable is higher than that of lagged inflation, means that firms pay more attention to the expected inflation in setting current prices. The evaluation tests indicate the accuracy and reliability of models.

Since structural change, along with traditional factors determining the growth such as labor force, capital and technology is known in theory and practice as one of the potential factors in growth due to providing the possibility of full and optimal utilization of resources, knowing the properties of structural changes in an economy can present a clear picture of possible economic growth. This is true especially when this knowledge is gained and used as a comparative criterion in comparison with indices of structural change in exemplary economies. This paper assesses the long-term trend of structural change in Iran’s economy determined by Hodrick-Prescot Filtering in comparison with corresponding variables in newly-industrialized countries. For this purpose, the status of structural variables in the period before the first rise in the oil price (years before 1973), the oil period (1973 to 1977), the revolution and war period (1978 to 1988), renovation period (1989 to 1998) and the period of implementation of the 3rd Development Plan (1999 to 2004) are analyzed. The results indicate that all structural variables in Iran’s economy had a trend similar to newly-industrialized countries in the period before the rise in oil price. However, the inappropriate changes occurred in the variables in the oil, revolution and war periods due to numerous economic and political shocks. Though some indices relatively improved in the periods of renovation and implementation of the 3rd Development Plan, the variables still remain in an unsuitable condition in comparison with their levels and trend in 1960’s and the first half of 1970’s and also in comparison with the trend of corresponding variables in newly-industrialized countries.

Many studies in the economic literature have devoted to analysis the effect of economic freedom on the economic growth and income per capita، but less study have analyzed the effect of economic freedom on the economic fluctuations. This Study has analyzed the effect of economic freedom on the economic fluctuations for 48 developing countries over the time period 2000-2010. To measure economic fluctuations two indices، “standard deviation of GDP growth” and “GDP fluctuations”، and for economic freedom “Fraser Institute Index” have been used. Models estimation has done by using cross section and panel data and results show that an increase in the economic freedom index reduces economic fluctuations.

This paper tests monetary view of inflation in Iranian economy by a monetary approach within P* model using OLS and ARDL techniques during 1358-1387 (1979-2008). It should be noted that only the standard P* model (domestic price gap) is tested in this study. Regarding that domestic price gap consists of output and velocity gaps, the Hedrick – Prescott filter method is used to estimate the potential production level and the velocity of balanced money. Estimation results of various models show that the standard P* model (domestic price gap), is not able to explain and forecast inflation in Iranian economy and implies that the quantity theory of money is not correct in Iranian economy. Therefore, we investigated monetary theory of inflation using alternative variables including volume of liquidity, real gross domestic product (GDP), informal exchange rate, import price index with using ARDL method. Results show that a 10% growth of liquidity leads to increase general prices by 4.6%. Thus, the monetary hypothesis of inflation is partially confirmed, however concerning that relationship between inflation and liquidity volume is not unique, and other factors affect inflation in Iran, therefore to curb Iranian inflation we cannot adopt only monetary policy as an effective tool.

GDP growth rate as a measure of economic progress is estimates on the basis of national accounts. Since the national accounts are recorded regardless of natural resource depletion، by estimating depreciation in the oil، gas، coal and other parts of the environment، depletion of natural resources can be accounted for which will provide the access to green GNP index. Green GNP shows increased economic growth stability. Among all natural resources، oil is the most important source of revenue for oil exporting countries and fluctuations in its price is a major factor for economic crisis in both the oil-exporting and importing countries. The main purpose of the present paper is to examine the impact of oil price shocks on green GNP. For this study، the first oil price shock are calculated using hoodrick - Prescott Filter method and then the effects of oil price shocks on green manufacturing was estimated using self regressing pattern. Based on the estimation results in the short term، oil price shocks have a negative impact on the green production. This is due to the oil extraction، depletion of natural resource is increased and it leads to decreasing the green production، and it has negative impact on green production in the long-run because an increase in oil production will lead to real growth of other sectors so that this growth offsets the depreciation.

Recently, the study of relation between economic convergences with the business cycle synchronizations among countries has become one of the important issues in economic literature. In this investigation the business cycle synchronization with the oil revenues studied for OPEC member countries. In this study, the annual data for the period 1973-2010, are used. At first, the time series of GDP and oil revenues have de-trended by the Hodrick-Prescott (HP) filter. Then, after confirming the business cycle synchronization and the oil revenues synchronization for OPEC member countries, the relationship between the business cycle synchronization with oil revenues are tested by Panel-VAR model. The results represent positive relationship between the business cycle synchronization and oil revenues for OPEC countries.

In this study, after detecting the existence or non-existence of housing price bubble in the city Tehran by using poterba’s model and Tobin's Q theory during the period of 1992-2009, the influential factors on creation or intensification of bubble price the Tehran housing market are investigated. For this purpose, in the first step, the fundamental price of housing is estimated by ARDL model and the residuals of ARDL model are then taken as the "bubble component". In the next stage, following study of the effect of other markets performance and also M2 (Liquidity) variations on creation or intensification of bubbles in Tehran's housing market, firstly the trend is separated from "random-variation" shocks of these variables by using Hodrick-Prescott filter, and then ARDL model is estimated again; i.e., the bubble component (residual) of the first ARDL model has been taken as the dependent variable and the cyclic component of the effective variables on the bubble, have been incorporated in second ARDL model as the independent variables. The existence of two price bubbles under Tehran housing market in 1996-1997 and 2007-2008 are verified mainly in both methods. As well, findings show that overall inflation, Tobin's Q ratio, real rent, number of households and housing stock are the determinant elements of the fundamental value of house price in Tehran and these variables tend to long run equilibrium at the confidence level of more than 95%.

Exchange rate fluctuations, affects aggregate demand by means such as imports, exports and money demand, and it also affects aggregate supply by means of imported inputs costs. So the result of these effects on real output and prices depends on economic performance of country.Generally, a positive shock of exchange rate in goods market results in lowering export prices while raising import prices, so demand for domestic goods increases. On the other hand with devaluation, firm's liquidity demand raises and so money demand. In supply side of economy, a positive shock of exchange rate (devaluation), raises imported inputs costs and hence product costs and prices in developing countries.The objective of this study is to investigate hypothesis of asymmetric effects of exchange rate fluctuations on real output and prices in Iran's economy and present guidance to handle these effects. To do this, Hodrick- Prescott filter is used to decompose shocks and assess their effects on real output and price during 1983-2007.The results show that, the hypothesis of asymmetric effects of exchange rate shocks on output is accepted but this hypothesis for prices is rejected.

The main objective of this research is to investigate the impact of foreign exchange rate fluctuations on the Iran's macroeconomic variables, especially the real output and domestic price level during 1961-2002. For this purpose, the fluctuations of the exchange rate are decomposed into two parts, anticipated and unanticipated components by using Hodrick Prescott filter. The empirical methodology is based on regression model and VAR method. The main findings of this research indicate that the exchange rate fluctuations have a non-symmetric impact on the real output and the domestic price level in Iran. It means that the impact of anticipated and unanticipated shocks on the real output are different from each other; the anticipated shocks of the exchange rate has more impact on the domestic output in comparison with the unanticipated ones. In addition, the negative shocks (unanticipated change in the exchange rate) have more effects on the real output than the positive shocks. In other words, the unanticipated currency appreciation (a negative shock) has influenced the real output more than the unanticipated currency depreciation. Similarly, the impact of the foreign exchange rate shocks on the domestic price level is non-symmetric. It means that the unanticipated exchange rate shocks have more effect on the price than the anticipated ones. Moreover, the absolute effect of the positive shocks (depreciation) on the price level is more pronounced than that of the negative ones. In other words, the absolute impact of the national currency depreciation on the price is higher than that of the appreciation.