THE THEORY OF MEASURING EFFECTS OF INTEREST RATE SHOCK ON THE MACRO FACTORS IN IRAN: A FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE, APPROACH

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FARAHANI M.; MARZBAN H.; DEHGHAN SHABANI Z.; AKBARIAN R.

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Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2018 | Volume:7 | Issue:25 Page(s): 29-54

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Title

THE THEORY OF MEASURING EFFECTS OF INTEREST RATE SHOCK ON THE MACRO FACTORS IN IRAN: A FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE, APPROACH

Author(s)

FARAHANI M. | MARZBAN H. | DEHGHAN SHABANI Z. | AKBARIAN R. | Issue Writer Certificate

Keywords

SHADOW REFERENCE INTEREST RATEQ1

FAVAR MODELQ1

EM ALGORITHMQ1

Abstract

Goal: Imposing the discretionary interest rate renders the interest rate market susceptible to variety of shocks. Monetary officials should be well aware of the durability and temporal impacts of these shocks on the macroeconomic variables. Using 120 macroeconomic variables of Iran economy within the period of 1984-2013, this study investigated whether there is a statistically significant relationship between the SHADOW REFERENCE INTEREST RATE (as a representative of the interest rate market) and prescribed interest rate? If so, what would be the consequence of the gap (difference) between these two rates in terms of the response of macroeconomic outlets...

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APA: Copy

FARAHANI, M., MARZBAN, H., DEHGHAN SHABANI, Z., & AKBARIAN, R.. (2018). THE THEORY OF MEASURING EFFECTS OF INTEREST RATE SHOCK ON THE MACRO FACTORS IN IRAN: A FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE, APPROACH. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 7(25 ), 29-54. SID. https://sid.ir/paper/226573/en

Vancouver: Copy

FARAHANI M., MARZBAN H., DEHGHAN SHABANI Z., AKBARIAN R.. THE THEORY OF MEASURING EFFECTS OF INTEREST RATE SHOCK ON THE MACRO FACTORS IN IRAN: A FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE, APPROACH. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2018;7(25 ):29-54. Available from: https://sid.ir/paper/226573/en

IEEE: Copy

M. FARAHANI, H. MARZBAN, Z. DEHGHAN SHABANI, and R. AKBARIAN, “THE THEORY OF MEASURING EFFECTS OF INTEREST RATE SHOCK ON THE MACRO FACTORS IN IRAN: A FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE, APPROACH,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 7, no. 25 , pp. 29–54, 2018, [Online]. Available: https://sid.ir/paper/226573/en

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