The effects of financial stress index on economic growth using linear and nonlinear models (Markov Switching)

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Ebrahimi Shaghaghi M.; RAHNAMAY ROODPOSHTI F.; MADDAHI MOHAMMAD EBRAHIM; NIKOOMARAM HASHEM; TORABI TAGHI

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:12 | Issue:42 Page(s): 85-106

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Title

The effects of financial stress index on economic growth using linear and nonlinear models (Markov Switching)

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Keywords

Financial Stress IndexQ1

Economic GrowthQ3

Linear ModelQ1

Markov Switching ModelQ1

Abstract

The global financial crisis has affected the advanced and developed economies. Iran's economy has been affected, like many other developing countries. In this paper, the effects of Financial Stress Index on Economic Growth using linear and nonLinear Models (Markov Switching) has been investigated. In this regard, after the construction of the index, at the beginning defined a production function and the impact of financial stress on Economic Growth in the rest of the production function variables measured in Linear method. According to the results of Financial Stress Index in the model of the long-term and short – term negative and significant effect on Economic Growth. The coefficient of this index is 0. 02%, which means that with an increase of 1% in the amount of this indicator, the Economic Growth per capita decreases by 0. 20%. So financial stress an obstacle to Economic Growth and the variables government spending, taxes, and the rate of exchange, which as indications of how to manage the government policies in fiscal, monetary and exchange Optimally utilized. Finally, to test the hypothesis on the nonlinear method of switching Markov model has been used. The results show that, when financial stress is increasing, the effect of uncertainty on financial stress on Economic Growth is negative.

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APA: Copy

Ebrahimi Shaghaghi, M., RAHNAMAY ROODPOSHTI, F., MADDAHI, MOHAMMAD EBRAHIM, NIKOOMARAM, HASHEM, & TORABI, TAGHI. (2019). The effects of financial stress index on economic growth using linear and nonlinear models (Markov Switching). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(42 ), 85-106. SID. https://sid.ir/paper/200063/en

Vancouver: Copy

Ebrahimi Shaghaghi M., RAHNAMAY ROODPOSHTI F., MADDAHI MOHAMMAD EBRAHIM, NIKOOMARAM HASHEM, TORABI TAGHI. The effects of financial stress index on economic growth using linear and nonlinear models (Markov Switching). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;12(42 ):85-106. Available from: https://sid.ir/paper/200063/en

IEEE: Copy

M. Ebrahimi Shaghaghi, F. RAHNAMAY ROODPOSHTI, MOHAMMAD EBRAHIM MADDAHI, HASHEM NIKOOMARAM, and TAGHI TORABI, “The effects of financial stress index on economic growth using linear and nonlinear models (Markov Switching),” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 42 , pp. 85–106, 2019, [Online]. Available: https://sid.ir/paper/200063/en

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