EVALUATION OF HOME BIAS IN CONSUMPTION AND EXCHANGE RATE FLUCTUATIONS (DSGE APPROACH)

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AKBARI MOHAMMAD; SHARIFZADEH MOHAMMAD JAVAD; RANJBARAKI ALI

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Paper Information

Journal: Journal of Economic Modelling Year:2017 | Volume:11 | Issue:2 (38) Page(s): 57-83

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Title

EVALUATION OF HOME BIAS IN CONSUMPTION AND EXCHANGE RATE FLUCTUATIONS (DSGE APPROACH)

Author(s)

AKBARI MOHAMMAD | SHARIFZADEH MOHAMMAD JAVAD | RANJBARAKI ALI | Issue Writer Certificate

Keywords

DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL (DSGE)Q1

HOME BIAS IN CONSUMPTIONQ1

EXCHANGE RATE FLUCTUATIONQ2

Abstract

The aim of this study is to evaluate the result of the exsictance and change in consumer home bias on macroeconomic variables (such as consumption and inflation), in the event of exogenous shocks to the economy. In order to do so, seasonal data of the period 1394-1370 and a dynamic stochastic general equilibrium model has been used. After designing the model, parameters of the suggested model are estimated by Bayesian approach. Reviewing the impulse response functions in the event of exogenous shocks (such as oil revenue shock and technological shock) shows that, with home bias exsictance in the model, inflation and consumption volatility will reduced due to the increased volatility of exchange rate. Based on the results it is recommended that, In order to control endogenous variables (including inflation), In the event of exogenous shocks, especially oil revenue shock, the exchange rate should be allowed to fluctuate more.

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APA: Copy

AKBARI, MOHAMMAD, SHARIFZADEH, MOHAMMAD JAVAD, & RANJBARAKI, ALI. (2017). EVALUATION OF HOME BIAS IN CONSUMPTION AND EXCHANGE RATE FLUCTUATIONS (DSGE APPROACH). ECONOMIC MODELLING, 11(2 (38)), 57-83. SID. https://sid.ir/paper/176209/en

Vancouver: Copy

AKBARI MOHAMMAD, SHARIFZADEH MOHAMMAD JAVAD, RANJBARAKI ALI. EVALUATION OF HOME BIAS IN CONSUMPTION AND EXCHANGE RATE FLUCTUATIONS (DSGE APPROACH). ECONOMIC MODELLING[Internet]. 2017;11(2 (38)):57-83. Available from: https://sid.ir/paper/176209/en

IEEE: Copy

MOHAMMAD AKBARI, MOHAMMAD JAVAD SHARIFZADEH, and ALI RANJBARAKI, “EVALUATION OF HOME BIAS IN CONSUMPTION AND EXCHANGE RATE FLUCTUATIONS (DSGE APPROACH),” ECONOMIC MODELLING, vol. 11, no. 2 (38), pp. 57–83, 2017, [Online]. Available: https://sid.ir/paper/176209/en

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