The Reaction of the Financial Conditions Index to the Macroeconomic Variables Shocks

The financial and real sectors are intrinsically related and the financial sector is affected by the systematic risks of the real sector. So, this study was done to investigate the reaction of the financial conditions index to the macroeconomic variables shocks in Iran with the time-varying parameter factor-augmented vector autoregressive model (TVP-FAVAR) and using quarterly data from ۱۹۹۱ to ۲۰۱۹. The results show that the macroeconomic variables shocks are an important factor in explaining the behavioral changes of the financial conditions index. In other words, the financial conditions index has shown different reactions to the macroeconomic variables shocks over time, and the intensity and extent of this reaction have not been the same for each of the macroeconomic variables. Therefore, policymakers should adopt appropriate policies according to the effects of macro variables on the economy so that they can ultimately improve the financial conditions of the country.

کلیدواژه ها:

Financial Conditions Index ، Macroeconomic ، reaction ، Shock ، TVP-FAVAR Model