The Effect of Monetary Policy on Financial Condition Index in Iran with the Markov-Switching Approach
سال انتشار: 1401
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 113
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شناسه ملی سند علمی:
JR_IJBDS-14-1_005
تاریخ نمایه سازی: 10 اسفند 1401
چکیده مقاله:
Monetary policy is one of the important economic policies that affect the macro variables of every country. One of the composite variables that are affected by the monetary policy is the FCI. This study aimed to measure the effect of monetary policy through different channels on the FCI of Iran. Using time series data from ۱۹۹۱-۲۰۲۳ and the econometric method of PCA, the FCI was first calculated. The effect of monetary policy on the FCI of the country using the Markov-switching (MSIHA(۲) AR(۲)) model was calculated and estimated. The results of the estimation of the Markov-switching model indicate that the studied period can be divided into two regimes of zero and one. So that ۱% increase in the FCI in regime zero will lead to a ۰.۰۲% return of the FCI in the next month and a ۰.۳۶% increase in the next two months. In addition, the increase in the FCI in regime one will lead to a ۰.۰۸% return of the FCI and a ۰.۱۰% increase in the next two months. In addition, the volume of money in regime zero and regime one also positively and significantly affects FCI.
کلیدواژه ها:
نویسندگان
Zahra Haerinasab
M.A in Economics, Razi University, Kermanshah, Iran.
Kiomars Sohaili
Associate Professor in Economics, Faculty of Economics, Razi University, Kermanshah, Iran.
Shahram Fattahi
Associate Professor in Economics, Faculty of Economics, Razi university, Kermanshah, Iran.