A Long Run Structural Macroeconometric Model for Iran
سال انتشار: 1391
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 375
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شناسه ملی سند علمی:
JR_IJER-17-50_005
تاریخ نمایه سازی: 23 دی 1396
چکیده مقاله:
We employ the modelling strategy of Garratt, Lee, Pesaran and Shin (2003a) to estimate a structural cointegrating VARX* model for Iran in which core macroeconomic variables of the Iranian economy are related to current and lagged values of a number of key foreign variables. The long run macroeconomic relations for real money balances, interest rates, output, prices and exchange rates are identified and tested within this framework over the period 1979Q1-2007Q4. We make use of generalised impulse response functions to analyze the dynamic properties of the model following a shock to exogenous variables (oil prices and foreign interest rates). We also examine via the persistence profiles, the speed of adjustments to the long run relations following a systemwide shock. The results show that money demand relation and UIP-PPP (international parity conditions jointly) are not rejected within the model. Furthermore, these two long run relations have well-behaved persistence profiles in which the effects of system wide-shocks on the long run relations are transitory and die out eventually. However, both UIP-PPP and the money demand relations exhibit sluggish rates of adjustments to shocks. We also provide evidence for the excessive importance of oil price shocks for Iranian economy in our impulse response analysis
کلیدواژه ها:
cointegrated vector autoregression (VARX*) ، long run relations ، Iranian economy ، oil price ، shock ، foreign interest rate shock
نویسندگان
Majid Sameti
Associate professor, University of Isfahan
Bahareh Teimouri
Ph.D. Candidate, University of Isfahan,