Monetary economics
Roozbeh Balounejad Nouri; Amir Ali Farhang
Abstract
the relationship between oil revenue, exchange rate, and M2 on the CPI and PPI, over time of 2005:1-2022:1, was investigated in Iran with QARDL method used. The results showed that, in the short run, all the variables had an asymmetric effect on the CPI and the PPI. oil revenues, in the long run, from ...
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the relationship between oil revenue, exchange rate, and M2 on the CPI and PPI, over time of 2005:1-2022:1, was investigated in Iran with QARDL method used. The results showed that, in the short run, all the variables had an asymmetric effect on the CPI and the PPI. oil revenues, in the long run, from the quantile of 0.05 to the median, the impact of the variable on the inflation would be increased, and then its impact would be decreased. also, in the long run, the effect of the increase on the PPI is greater than the consumer price index. In the long run, the effect of exchange rates on the CPI and the PPI was nonlinear while being symmetric. because from the quantile of 0.2 to 0.8, its effect proportionally increased and then decreased. also, regarding the M2, the results showed that this variable on the CPI and the PPI had an asymmetric effect, in the short run. in this way, from the middle quantile to the quantile of 0.9, its effect was positive and significant, and in the long run, the results confirmed its positive effect on inflation in all quantiles; although, its effect on the PPI was asymmetric.
Other
Ali Rezazadeh; Roghayeh Mohseninia
Abstract
This study provides a comprehensive and different sight at the theoretical literature of the relationship between financial stress index and financial markets and presents a new method in order to investigate the nonlinear relationship between the financial stress index and financial markets for Iran's ...
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This study provides a comprehensive and different sight at the theoretical literature of the relationship between financial stress index and financial markets and presents a new method in order to investigate the nonlinear relationship between the financial stress index and financial markets for Iran's financial system. To that end, the time-varying Granger-causality tests were used. After calculating the financial stress index, the causality between these variable and other variables (gold price, exchange rate, and stock price index) was evaluated. The time-varying causality tests included forward, rolling, and recursive estimators from April 2005 to December 2019. All results were recalculated regarding time series variance heterogeneity for sensitivity assessment. The estimation findings were more credible in terms of variance heterogeneity due to the monthly nature of the data employed and the high probability of variance heterogeneity. The estimation results with variance heterogeneity and time-varying Granger-causality variable test used to investigate the relationship between financial stress and the stock market also revealed no evidence of causality between financial stress and the stock price index using forward and rolling algorithms. Findings indicate that the financial stress is the source of variations in the Iranian gold market, it does not affect the currency or stock markets.
Public Economics
Rezgar Feizi; Sahar Amidi; Khaled Ahmadzadeh; Bakhtiar Javaheri
Abstract
The exchange rate and international oil price are key variables to cause the effects of external shock on economics and the relationship to domestic economy. Since in countries like Iran, most government revenues come from exchange earnings from the international markets by oil exports, the impact of ...
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The exchange rate and international oil price are key variables to cause the effects of external shock on economics and the relationship to domestic economy. Since in countries like Iran, most government revenues come from exchange earnings from the international markets by oil exports, the impact of these two variables on the economy has significant consequences. In addition, it should be considered how fluctuations in the exchange rate and international oil prices can impact policy and international relations. According to the international trade perspective, it is believed that the exchange rate affects the economy through the changes in exports and imports commodities; therefore, expectations of the exchange rate will affect the price of the products traded. Moreover, the impact of oil price on the production of commodities changes the level of supply for activities and income of institutions through changes in the production factors and intermediary imports price. We conclude that if any change in both exchange rate and oil prices occurs, it will cause a change in welfare indicators. This research has therefore arisen to fill this void in the literature. Moreover, it utilizes a logistic model to represent the change in the exchange rate and oil price. Based on empirical results, a recursive computable general equilibrium model is constructed to predict future social welfare and simulate the impact of exchange rate fluctuations along with the oil price shock. The results are presented in different scenarios using the 2011 Social Accounting Matrix (SAM).
Hossein Asgharpour; Elham Vafaei; Hamed Abdolmaleki
Abstract
The main objective of this paper is to investigate the asymmetric effects of exchangerate on Iranian import price index using quarterly time series data over the period 1990- 2011. For this purpose, positive and negative shocks of the exchange rate have been separated from each other using dummy variables ...
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The main objective of this paper is to investigate the asymmetric effects of exchangerate on Iranian import price index using quarterly time series data over the period 1990- 2011. For this purpose, positive and negative shocks of the exchange rate have been separated from each other using dummy variables and the effects of the size of the exchange rate shocks by determining a threshold.The empirical results indicate that the positive and negative shocks of the exchange rate both have positive and asymmetric effects on the import price index. The results show that the effects of negative shocks of the exchange rate on the imports price index is more than the positive shocks effect. In addition, the experimental findings of the research indicate that the effect of foreign exchange rate shocks size on the imports price is asymmetric and the effectiveness extent of smaller shocks is significantly more than that of bigger exchange rate shocks.Moreover, according to the results, the effects of positive and negative shocks based on the size of foreign exchange shocks (small & big) on the imports price is asymmetric and the results show that the effect of small negative shocks is more than big ones and also the effects of small positive shocks is more than big ones.
Raha Pourahmadi Haghighi; Ebrahim Hadian; Ahmad Sadraei Javaheri; Rouhollah Shahnazi
Abstract
It is obvious that an optimal policy should consider main dimensions of the phenomenon that can affect the transmission mechanism of that policy. In an open economy, it is expected that variables of the foreign sector play important role in its economic behavior. Therefore, it needs that any optimal ...
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It is obvious that an optimal policy should consider main dimensions of the phenomenon that can affect the transmission mechanism of that policy. In an open economy, it is expected that variables of the foreign sector play important role in its economic behavior. Therefore, it needs that any optimal policy in an open economy to design in such a way which involves changes in the foreign sector. Due to this fact, this paper aims at assessing the monetary policy of Central Bank of Iran to find that whether this policy takes a right way or not. To do so, a DSGE model along with MCMC criteria are employed.The main result indicates that the Central Bank decision on monetary policy follows McCallum rule without any respond to exchange rate shocks.
