ASYMMETRIC EFFECTS OF MONETARY POLICY AND ECONOMIC FLUCTUATIONS IN IRAN

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KHALILI ARAGHI MANSOUR; GUDARZI FARAHANI YAZDAN

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Journal: Journal of Economic Studies and Policies Year:2014 | Volume:9 (19) | Issue:2 (99) Page(s): 31-62

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Title

ASYMMETRIC EFFECTS OF MONETARY POLICY AND ECONOMIC FLUCTUATIONS IN IRAN

Author(s)

KHALILI ARAGHI MANSOUR | GUDARZI FARAHANI YAZDAN | Issue Writer Certificate

Keywords

ASYMMETRIC MONETARY SHOCKSQ2

MONETARY POLICYQ2

CO-INTEGRATION ANALYSISQ3

WAVELETS THEORYQ2

Abstract

In this paper we have analyzed the asymmetric effects of MONETARY POLICY on aggregate activity by applying CO-INTEGRATION ANALYSIS and error correction model using Iran's annual data from 1971-2011.Three types of asymmetric effects have been considered in this paper:1) whether negative and positive MONETARY POLICY shocks have different effects on output; 2) whether big or small shocks have different effects; and 3) whether low-variance, negative shocks have asymmetric effects on output. The results about asymmetry of positive and negative monetary shocks indicate that the negative shocks have more real effects on economic growth rate than positive shocks. In addition, for all specifications, a large part of the effects of positive shocks will become neutral in next period. Results show that in different specification in regard to null hypotheses of low- variance in negative monetary shocks have large effects on output. One can say that due to price rigidity and Menu cost theory when we have negative monetary shocks, firms will not adjust their prices and under this condition the shocks have positive effects on output.

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APA: Copy

KHALILI ARAGHI, MANSOUR, & GUDARZI FARAHANI, YAZDAN. (2014). ASYMMETRIC EFFECTS OF MONETARY POLICY AND ECONOMIC FLUCTUATIONS IN IRAN. JOURNAL OF ECONOMIC STUDIES AND POLICIES, 9 (19)(2 (99)), 31-62. SID. https://sid.ir/paper/219040/en

Vancouver: Copy

KHALILI ARAGHI MANSOUR, GUDARZI FARAHANI YAZDAN. ASYMMETRIC EFFECTS OF MONETARY POLICY AND ECONOMIC FLUCTUATIONS IN IRAN. JOURNAL OF ECONOMIC STUDIES AND POLICIES[Internet]. 2014;9 (19)(2 (99)):31-62. Available from: https://sid.ir/paper/219040/en

IEEE: Copy

MANSOUR KHALILI ARAGHI, and YAZDAN GUDARZI FARAHANI, “ASYMMETRIC EFFECTS OF MONETARY POLICY AND ECONOMIC FLUCTUATIONS IN IRAN,” JOURNAL OF ECONOMIC STUDIES AND POLICIES, vol. 9 (19), no. 2 (99), pp. 31–62, 2014, [Online]. Available: https://sid.ir/paper/219040/en

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