EFFECT OF MONETARY AND FISCAL SHOCKS ON MACROECONOMIC VARIABLES OF IRAN IN DIFFERENT VOLATILITY REGIMES: MARKOV SWITCHING DSGE APPROACH

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SAEIDPOUR L.; HEIDARI H.; FAALJOU H.R.

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Paper Information

Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2018 | Volume:7 | Issue:25 Page(s): 55-83

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Title

EFFECT OF MONETARY AND FISCAL SHOCKS ON MACROECONOMIC VARIABLES OF IRAN IN DIFFERENT VOLATILITY REGIMES: MARKOV SWITCHING DSGE APPROACH

Author(s)

SAEIDPOUR L. | HEIDARI H. | FAALJOU H.R. | Issue Writer Certificate

Keywords

MARKOV SWITCHING DSGEQ1

FISCAL SHOCKQ2

MONETARY SHOCKQ1

TRADABLE AND NON-TRADABLE GOODSQ2

Abstract

Goal: In an environment where economic structures break, variances change, distributions shift, conventional policies weaken and past events tend to reoccur, economic agents have to form expectations over different regimes. This makes the regime-switching dynamic stochastic general equilibrium model (RS-DSGE) the natural framework for analyzing the dynamics of macroeconomic variables. Therefore, unlike other studies that addressed time-invariant parameters, the present paper analyzed the behavior of the major Iranian economic variables using small open-economy DSGE models and allowing for Markov switching in certain parameters estimated by Bayesian methods...

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APA: Copy

SAEIDPOUR, L., HEIDARI, H., & FAALJOU, H.R.. (2018). EFFECT OF MONETARY AND FISCAL SHOCKS ON MACROECONOMIC VARIABLES OF IRAN IN DIFFERENT VOLATILITY REGIMES: MARKOV SWITCHING DSGE APPROACH. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 7(25 ), 55-83. SID. https://sid.ir/paper/226571/en

Vancouver: Copy

SAEIDPOUR L., HEIDARI H., FAALJOU H.R.. EFFECT OF MONETARY AND FISCAL SHOCKS ON MACROECONOMIC VARIABLES OF IRAN IN DIFFERENT VOLATILITY REGIMES: MARKOV SWITCHING DSGE APPROACH. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2018;7(25 ):55-83. Available from: https://sid.ir/paper/226571/en

IEEE: Copy

L. SAEIDPOUR, H. HEIDARI, and H.R. FAALJOU, “EFFECT OF MONETARY AND FISCAL SHOCKS ON MACROECONOMIC VARIABLES OF IRAN IN DIFFERENT VOLATILITY REGIMES: MARKOV SWITCHING DSGE APPROACH,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 7, no. 25 , pp. 55–83, 2018, [Online]. Available: https://sid.ir/paper/226571/en

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