The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model

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PASHA ZANOUS PEGAH; BAHRAMI JAVID; TAVAKKOLIAN HOSSEIN; MOHAMMADI TAYMOUR

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Title

The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model

Author(s)

PASHA ZANOUS PEGAH | BAHRAMI JAVID | TAVAKKOLIAN HOSSEIN | MOHAMMADI TAYMOUR | Issue Writer Certificate

Keywords

Financial IntegrationQ1

DSGEQ1

Macroeconomics FluctuationsQ2

Abstract

The effects of International Financial Integration on the fluctuations of variables in response to shocks are a matter of heavily concentrated literature of the business cycle in recent years. In this paper, a New Keynesian DSGE model is developed in which there is a channel for capital account changes through the foreign deposit's inflow and outflow. Then the effects of Financial Integration are simulated. The integration factor is defined by the percentage of the total foreign deposits absorbed by the banking system. This coefficient could change due to changes in effective domestic interest rate and global interest rate. This paper shows in presence of oil shocks, the fluctuation of production, consumption, real exchange rate and variables of the banking system such as deposits and loans, is higher in Financial Integration but there is no significant difference in inflation. In presence of technology shocks, there is no significant difference.

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APA: Copy

PASHA ZANOUS, PEGAH, BAHRAMI, JAVID, TAVAKKOLIAN, HOSSEIN, & MOHAMMADI, TAYMOUR. (2020). The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model. JOURNAL OF ECONOMIC MODELING RESEARCH, 10(39 ), 7-44. SID. https://sid.ir/paper/381338/en

Vancouver: Copy

PASHA ZANOUS PEGAH, BAHRAMI JAVID, TAVAKKOLIAN HOSSEIN, MOHAMMADI TAYMOUR. The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2020;10(39 ):7-44. Available from: https://sid.ir/paper/381338/en

IEEE: Copy

PEGAH PASHA ZANOUS, JAVID BAHRAMI, HOSSEIN TAVAKKOLIAN, and TAYMOUR MOHAMMADI, “The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 10, no. 39 , pp. 7–44, 2020, [Online]. Available: https://sid.ir/paper/381338/en

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