Dynamic Relationship Between Macroeconomic Instability and Private Investment in the Iranian Economy
سال انتشار: 1393
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 300
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شناسه ملی سند علمی:
JR_IJBDS-6-2_005
تاریخ نمایه سازی: 30 خرداد 1400
چکیده مقاله:
This paper investigates the relationship between macroeconomic instability and private investment of the Iranian economy. The study uses a trivariate VAR(۲)-GARCH(۱,۱)-in-Mean with diagonal BEKK approach to proxied inflation and exchange rate uncertainties as the main indicators of macroeconomic instability. Moreover, Bounds testing approach to level relationship applied to investigate the long-run relationship between macroeconomic instability and private investment. By taking the structural breaks into account, results of the paper reveal that there are mean spillovers between inflation, exchange rate and private investment. There also is a negative effect of macroeconomic instability on private investment over the period of study, ۱۹۸۸:۱-۲۰۱۰:۴. These results support Pindyck (۱۹۸۲, ۱۹۸۸, ۱۹۹۱), Caballero (۱۹۹۱), Ferderer (۱۹۹۳a), Caballero and Pindyck (۱۹۹۶).
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