ANALYZING THE ECONOMIC IMPACTS OF SHOCKS WITHIN A LONG-RUN STRUCTURAL MACROECONOMETRIC MODEL FOR IRAN IN A GLOBAL CONTEXT

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SAMETI MAJID; TEIMOURI BAHAREH; SHAJARI HOSHANG; SAMETI MORTEZA

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Journal: Journal of Economic Research Year:2011 | Volume:46 | Issue:95 Page(s): 103-130

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Information Journal Paper

Title

ANALYZING THE ECONOMIC IMPACTS OF SHOCKS WITHIN A LONG-RUN STRUCTURAL MACROECONOMETRIC MODEL FOR IRAN IN A GLOBAL CONTEXT

Author(s)

SAMETI MAJID | TEIMOURI BAHAREH | SHAJARI HOSHANG | SAMETI MORTEZA | Issue Writer Certificate

Keywords

COINTEGRATED VECTOR AUTOREGRESSIVE MODEL (VAREX)Q2

LONG RUN RELATIONQ2

VECTOR ERROR CORRECTION MODELQ2

Abstract

This paper estimates a structural cointegrating VARX model with exogenous variables for Iran. The long-run macroeconomic relationships are identified and tested within this framework. We make use of the Generalized Forecast Error Variance Decomposition to analyze the dynamic properties of the model in response to different shocks. We also examine via the persistence profiles, the speed of adjustments to the long-run equilibrium following a system wide shock. The results show that money demand relation and output gap are not rejected within the model. Furthermore, these two long-run relations have well behaved persistence profiles in which the effects of shocks on the LONG RUN RELATIONs are transitory and die out eventually.

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APA: Copy

SAMETI, MAJID, TEIMOURI, BAHAREH, SHAJARI, HOSHANG, & SAMETI, MORTEZA. (2011). ANALYZING THE ECONOMIC IMPACTS OF SHOCKS WITHIN A LONG-RUN STRUCTURAL MACROECONOMETRIC MODEL FOR IRAN IN A GLOBAL CONTEXT. TAHGHIGHAT-E-EGHTESADI, 46(95), 103-130. SID. https://sid.ir/paper/12125/en

Vancouver: Copy

SAMETI MAJID, TEIMOURI BAHAREH, SHAJARI HOSHANG, SAMETI MORTEZA. ANALYZING THE ECONOMIC IMPACTS OF SHOCKS WITHIN A LONG-RUN STRUCTURAL MACROECONOMETRIC MODEL FOR IRAN IN A GLOBAL CONTEXT. TAHGHIGHAT-E-EGHTESADI[Internet]. 2011;46(95):103-130. Available from: https://sid.ir/paper/12125/en

IEEE: Copy

MAJID SAMETI, BAHAREH TEIMOURI, HOSHANG SHAJARI, and MORTEZA SAMETI, “ANALYZING THE ECONOMIC IMPACTS OF SHOCKS WITHIN A LONG-RUN STRUCTURAL MACROECONOMETRIC MODEL FOR IRAN IN A GLOBAL CONTEXT,” TAHGHIGHAT-E-EGHTESADI, vol. 46, no. 95, pp. 103–130, 2011, [Online]. Available: https://sid.ir/paper/12125/en

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