Systematic and Non-systematic Monetary Policy in Iran: A Stochastic Volatility TVP-BSVAR Approach

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TAVAKOLIAN HOSSEIN

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Journal Paper

Paper Information

Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2022 | Volume:11 | Issue:43 Page(s): 177-205

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Title

Systematic and Non-systematic Monetary Policy in Iran: A Stochastic Volatility TVP-BSVAR Approach

Author(s)

TAVAKOLIAN HOSSEIN | Issue Writer Certificate

Keywords

Systematic Monetary Policy

non-systematic Monetary Policy

TVP-SBVAR Model

Abstract

After the imposed war, Iranchr('39')s economy has seen two relatively successful experiences in controlling inflation. These two periods include the final years of the Third Development Program and the Joint Comprehensive Plan of Action (JCPOA) term. This is while we are seeing a relatively high inflation rate in other periods. In this paper, based on literature on monetary rules and using a Time-Varying Parameter Bayesian Structural Vector Auo Regressive (TVP-BSVAR) Model with stochastic volatilities, we study a rule-based monetary policy or a Systematic Monetary Policy and a non-Systematic Monetary Policy (based on the stochastic volatilities of monetary shocks). The results indicate that in addition to the Systematic Monetary Policy obtained from the model, the success of monetary policymakers in controlling inflation is not only due to inflation control per se (thst is systematictic) but also for non-systematic reasons such as fiscal policy through fiscal discipline and oil revenue management by both monetary and fiscal policymakers that does not fit into the framework of Systematic Monetary Policy.

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APA: Copy

TAVAKOLIAN, HOSSEIN. (2022). Systematic and Non-systematic Monetary Policy in Iran: A Stochastic Volatility TVP-BSVAR Approach. JOURNAL OF ECONOMIC MODELING RESEARCH, 11(43 ), 177-205. SID. https://sid.ir/paper/954468/en

Vancouver: Copy

TAVAKOLIAN HOSSEIN. Systematic and Non-systematic Monetary Policy in Iran: A Stochastic Volatility TVP-BSVAR Approach. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2022;11(43 ):177-205. Available from: https://sid.ir/paper/954468/en

IEEE: Copy

HOSSEIN TAVAKOLIAN, “Systematic and Non-systematic Monetary Policy in Iran: A Stochastic Volatility TVP-BSVAR Approach,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 11, no. 43 , pp. 177–205, 2022, [Online]. Available: https://sid.ir/paper/954468/en

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