Constructing a Factor Augmented VAR Model to Analyze Transmission of Oil and Monetary Shocks to Iranian Economy

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HEYDARI HASSAN

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2019 | Volume:9 | Issue:34 Page(s): 71-105

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Title

Constructing a Factor Augmented VAR Model to Analyze Transmission of Oil and Monetary Shocks to Iranian Economy

Author(s)

HEYDARI HASSAN | Issue Writer Certificate

Keywords

Oil IncomesQ2

FAVAR ModelsQ2

Monetary ShocksQ1

Abstract

There is a growing attention to models which contain a broader set of economic data. In recent decade, introduction of Factor Augmented VAR models through augmentation of traditional VAR models with unobservable “ factors” has made a new route to econometric modeling. In spite of the growing number of international papers and researches which have used FAVAR approach to modeling policy shocks to various economies, there is little about Iranian economy. So the paper is an attempt to fill the gap in the literature using an FAVAR model to analyze transmission of oil and Monetary Shocks to Iranian economy. The model contains 35 major macroeconomic annual variables spanning from 1974 to 2014. The results show that “ real sector” of Iranian economy responds positively to oil shocks up to 5 years. Also “ nominal sector” of the economy responds positively to oil shocks but the responses are shorter, smaller and more volatile than “ real sector” responses. Finally the model results show responses of “ nominal sector” of Iranian economy to Monetary Shocks are positive which its duration varies between 2 and 4 years.

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APA: Copy

HEYDARI, HASSAN. (2019). Constructing a Factor Augmented VAR Model to Analyze Transmission of Oil and Monetary Shocks to Iranian Economy. JOURNAL OF ECONOMIC MODELING RESEARCH, 9(34 ), 71-105. SID. https://sid.ir/paper/379463/en

Vancouver: Copy

HEYDARI HASSAN. Constructing a Factor Augmented VAR Model to Analyze Transmission of Oil and Monetary Shocks to Iranian Economy. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2019;9(34 ):71-105. Available from: https://sid.ir/paper/379463/en

IEEE: Copy

HASSAN HEYDARI, “Constructing a Factor Augmented VAR Model to Analyze Transmission of Oil and Monetary Shocks to Iranian Economy,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 9, no. 34 , pp. 71–105, 2019, [Online]. Available: https://sid.ir/paper/379463/en

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