Effect of Shock Factors Affecting Financial Crises in Iran's Economy: Autoregressive Vector Models Variable-Time Parameters

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BAYANI OZRA; MOHAMMADI TEIMUR; BAHRAMI JAVID; TAVAKOLIAN HOSSEIN

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Journal: Journal of Economic Modelling Year:2019 | Volume:13 | Issue:2 (46) Page(s): 45-72

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Title

Effect of Shock Factors Affecting Financial Crises in Iran's Economy: Autoregressive Vector Models Variable-Time Parameters

Author(s)

BAYANI OZRA | MOHAMMADI TEIMUR | BAHRAMI JAVID | TAVAKOLIAN HOSSEIN | Issue Writer Certificate

Keywords

Autoregressive Vector Models Variable-Time ParametersQ1

Bayesian Model AveragingQ1

financial crisisQ1

Abstract

The purpose of this study was to investigate the effects of shocks on factors affecting financial crises in Iran's economy. In this study 62 explanatory variables were introduced into the model between 1370: 1 and 1395: 4 and, using the Bayesian averaging model approach, 12 non-critical variables that were effective on the financial crisis were identified. According to the results of the results, it can be stated that the financial crisis index in Iran's economy is a multi-dimensional problem, as variables related to fiscal policy; monetary policy and foreign exchange policy affect this index. Based on the results of the Autoregressive Vector Models Variable-Time Parameters, it was also observed that the effect of selected variables on financial crises in Iran over the course of time has had different effects and in recent years the intensity of the effect of selected variables has been strengthened. One of the fundamental solutions is that policies that reduce inflation uncertainty, such as the fiscal and monetary discipline of the government and the central bank, reduce crisis expectations by stabilizing the currency and currency markets can reduce crisis uncertainty.

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APA: Copy

BAYANI, OZRA, MOHAMMADI, TEIMUR, BAHRAMI, JAVID, & TAVAKOLIAN, HOSSEIN. (2019). Effect of Shock Factors Affecting Financial Crises in Iran's Economy: Autoregressive Vector Models Variable-Time Parameters. ECONOMIC MODELLING, 13(2 (46) ), 45-72. SID. https://sid.ir/paper/176241/en

Vancouver: Copy

BAYANI OZRA, MOHAMMADI TEIMUR, BAHRAMI JAVID, TAVAKOLIAN HOSSEIN. Effect of Shock Factors Affecting Financial Crises in Iran's Economy: Autoregressive Vector Models Variable-Time Parameters. ECONOMIC MODELLING[Internet]. 2019;13(2 (46) ):45-72. Available from: https://sid.ir/paper/176241/en

IEEE: Copy

OZRA BAYANI, TEIMUR MOHAMMADI, JAVID BAHRAMI, and HOSSEIN TAVAKOLIAN, “Effect of Shock Factors Affecting Financial Crises in Iran's Economy: Autoregressive Vector Models Variable-Time Parameters,” ECONOMIC MODELLING, vol. 13, no. 2 (46) , pp. 45–72, 2019, [Online]. Available: https://sid.ir/paper/176241/en

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