Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran

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JAFARI SAMIMI AHMAD; TEHRANCHIAN AMIR MANSOUR; Nosratiannasab Mohsen

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Journal: JOURNAL OF ECONOMIC MODELING Year:2018 | Volume:3 | Issue:4 (11) Page(s): 135-161

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Information Journal Paper

Title

Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran

Author(s)

JAFARI SAMIMI AHMAD | TEHRANCHIAN AMIR MANSOUR | Nosratiannasab Mohsen | Issue Writer Certificate

Keywords

Monetary policyQ2

Risk of financial marketQ1

Nonlinear behaviorQ1

Smooth transition regression modelQ1

Abstract

In this study, using the smooth transition regression (STR) and quarterly data during the period of 1997: 1-2015: 3, the nonlinear Monetary policy functions of the Central Bank of Iran, regarding the Risk of financial markets, be estimated. The results indicated that the Risk of financial markets is an important factor in regime switching of Monetary policy in Iran. By passing the Risk of financial markets from a threshold level, Monetary policy is focused on adjusting the output gap so that the coefficient of output gap is consistent with the Taylor rule in the second regime while in the linear part (the first regime) it is in contrast to the expected coefficient. This results indicate the variability of Monetary policy behavior in various financial market risk situations. However, the coefficient of inflation gap in both regimes and both scenarios is not statistically significant.

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APA: Copy

JAFARI SAMIMI, AHMAD, TEHRANCHIAN, AMIR MANSOUR, & Nosratiannasab, Mohsen. (2018). Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran. JOURNAL OF ECONOMIC MODELING, 3(4 (11) ), 135-161. SID. https://sid.ir/paper/391534/en

Vancouver: Copy

JAFARI SAMIMI AHMAD, TEHRANCHIAN AMIR MANSOUR, Nosratiannasab Mohsen. Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran. JOURNAL OF ECONOMIC MODELING[Internet]. 2018;3(4 (11) ):135-161. Available from: https://sid.ir/paper/391534/en

IEEE: Copy

AHMAD JAFARI SAMIMI, AMIR MANSOUR TEHRANCHIAN, and Mohsen Nosratiannasab, “Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran,” JOURNAL OF ECONOMIC MODELING, vol. 3, no. 4 (11) , pp. 135–161, 2018, [Online]. Available: https://sid.ir/paper/391534/en

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