Identifying the Role of Financial Shocks in Iran’ s Economy (using the sign restriction and bayesian estimation approach)

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FALLAHI SAMAN; RAHMANI TEYMOUR

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Paper Information

Journal: THE JOURNAL OF PLANNING AND BUDGETING Year:2019 | Volume:23 | Issue:4 Page(s): 3-35

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Title

Identifying the Role of Financial Shocks in Iran’ s Economy (using the sign restriction and bayesian estimation approach)

Author(s)

FALLAHI SAMAN | RAHMANI TEYMOUR | Issue Writer Certificate

Keywords

Sign Restrictions VARQ1

Bayesian EstimationQ1

Financial ShocksQ1

Business CycleQ2

quarterly dataQ2

Abstract

One of the most attractive fields of research in applied macroeconomics is identifying the role of different shocks in Business Cycles. After the recent financial crisis (2007-2008), more attention has been drawn to the financial sector to explain economic fluctuations. In this study, we examine the role of Financial Shocks (loan supply shock, housing price shock, and stock market shock) alongside the real and monetary shocks (aggregate supply, aggregate demand, monetary policy, and investment shocks) in Iran’ s Business Cycles. We use the Sign Restrictions VAR model in order to identify different shocks structurally. Two models have been estimated using the Bayesian method and seasonal data over the time period 1370: 1-1395: 4 (1991: 2-2017: 1). The findings indicate that the Financial Shocks, especially the loan supply shock, are of great importance in explaining the fluctuations of the real economy. In addition, our results show that the role of financial shock is more significant in explaining the recent recession of Iran’ s economy.

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APA: Copy

FALLAHI, SAMAN, & RAHMANI, TEYMOUR. (2019). Identifying the Role of Financial Shocks in Iran’ s Economy (using the sign restriction and bayesian estimation approach). THE JOURNAL OF PLANNING AND BUDGETING, 23(4 ), 3-35. SID. https://sid.ir/paper/402433/en

Vancouver: Copy

FALLAHI SAMAN, RAHMANI TEYMOUR. Identifying the Role of Financial Shocks in Iran’ s Economy (using the sign restriction and bayesian estimation approach). THE JOURNAL OF PLANNING AND BUDGETING[Internet]. 2019;23(4 ):3-35. Available from: https://sid.ir/paper/402433/en

IEEE: Copy

SAMAN FALLAHI, and TEYMOUR RAHMANI, “Identifying the Role of Financial Shocks in Iran’ s Economy (using the sign restriction and bayesian estimation approach),” THE JOURNAL OF PLANNING AND BUDGETING, vol. 23, no. 4 , pp. 3–35, 2019, [Online]. Available: https://sid.ir/paper/402433/en

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