BUSINESS CYCLES AND MONETARY POLICY IN IRAN: A FURTHER INVESTIGATION USING MRSTAR MODELS

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GHOLAMI ZABIHOLLAH; FARZINVASH ASADOLLAH; EHSANI MOHAMMAD ALI

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Journal: Journal of Economic Research and Policies Year:2014 | Volume:21 | Issue:68 Page(s): 5-28

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Title

BUSINESS CYCLES AND MONETARY POLICY IN IRAN: A FURTHER INVESTIGATION USING MRSTAR MODELS

Author(s)

GHOLAMI ZABIHOLLAH | FARZINVASH ASADOLLAH | EHSANI MOHAMMAD ALI | Issue Writer Certificate

Keywords

MONETARY POLICYQ2

GROSS DOMESTIC PRODUCTQ2

ASYMMETRIC EFFECTSQ2

MULTIPLE REGIME SMOOTH TRANSITION AUTOREGRESSIVE MODELQ2

Abstract

Some economists believe that MONETARY POLICY changes only the nominal variables and has no effect on the real variables. In contrast, some economists believe that under some circumstances MONETARY POLICY, in addition to the nominal variables, increases the real variables in the short term and, in some cases, even in the long term. Since 1990s numerous theoretical and empirical studies have been conducted to examine the ASYMMETRIC EFFECTS of MONETARY POLICY on real variables. Some New Keynesian economists believe that MONETARY POLICY can produce ASYMMETRIC EFFECTS on GROSS DOMESTIC PRODUCT. This paper analyzes the ASYMMETRIC EFFECTS of MONETARY POLICY on GROSS DOMESTIC PRODUCT in Iran during 1959-2010. We use the RESET, Terasvirta (1998), Terasvirta and Anderson (1992) and Terasvirta (1993) tests as well as Nonlinear Smooth Transition Autoregressive and logistic transition function models, and use oil income and private sector investment growth rates as the transition variables with one lag. In order to estimate the 4-state Smooth Transition Autoregressive Model, we use the non-linear least squares and Genetic Algorithm. We find that the effect of MONETARY POLICY on GROSS DOMESTIC PRODUCT is asymmetric in the studied period. The MULTIPLE REGIME SMOOTH TRANSITION AUTOREGRESSIVE MODEL reveals 4 different business cycle states in Iran. Monetary coefficients are different in these states and the largest coefficient appears in recessions with declining economy, while the smallest coefficient belongs to booms with decreasing growth rates.

Cites

اثرات سیاست های پولی و مالی بر پویایی های ادوار تجاری در اقتصاد ایران

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APA: Copy

GHOLAMI, ZABIHOLLAH, FARZINVASH, ASADOLLAH, & EHSANI, MOHAMMAD ALI. (2014). BUSINESS CYCLES AND MONETARY POLICY IN IRAN: A FURTHER INVESTIGATION USING MRSTAR MODELS. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 21(68), 5-28. SID. https://sid.ir/paper/89580/en

Vancouver: Copy

GHOLAMI ZABIHOLLAH, FARZINVASH ASADOLLAH, EHSANI MOHAMMAD ALI. BUSINESS CYCLES AND MONETARY POLICY IN IRAN: A FURTHER INVESTIGATION USING MRSTAR MODELS. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2014;21(68):5-28. Available from: https://sid.ir/paper/89580/en

IEEE: Copy

ZABIHOLLAH GHOLAMI, ASADOLLAH FARZINVASH, and MOHAMMAD ALI EHSANI, “BUSINESS CYCLES AND MONETARY POLICY IN IRAN: A FURTHER INVESTIGATION USING MRSTAR MODELS,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 21, no. 68, pp. 5–28, 2014, [Online]. Available: https://sid.ir/paper/89580/en

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