Asymmetric Effects of Monetary Shocks on Business Cycles in Iran (Approach: DSGE Model)

Sahabi, Bahram; Asgharpur, Hossein; Qorbani, Saeed

doi:10.29252/jemr.8.29.133

Volume 8, Issue 29 (10-2017) jemr 2017, 8(29): 133-168 | Back to browse issues page

‎ 10.29252/jemr.8.29.133

‎ 20.1001.1.22286454.1396.8.29.2.1

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Sahabi B, Asgharpur H, Qorbani S. Asymmetric Effects of Monetary Shocks on Business Cycles in Iran (Approach: DSGE Model). jemr 2017; 8 (29) :133-168
URL: http://jemr.khu.ac.ir/article-1-1220-en.html

Asymmetric Effects of Monetary Shocks on Business Cycles in Iran (Approach: DSGE Model)

Bahram Sahabi¹

, Hossein Asgharpur²

, Saeed Qorbani ^*

1- Tarbiat Modares Universit
2- Tabriz university
3- Tarbiat Modares Universit , sahabi_b@modares.ac.ir

Abstract: (8300 Views)

In this study, using Dynamic Stochastic General Equilibrium Model (DSGE model) the hypothesis of asymmetry of monetary shocks in the Iranian business cycle during the period of 1979-2012 is tested on macroeconomic variables. The designed model broadens the analytical framework of dynamic equilibrium models with respect to the economic characteristics of an oil-exporting country. To extract business cycles, the Hodrick-Prescott filtering process has been used. The results of the research indicate that the effects of positive and negative monetary shocks during ascendancy and economic prosperity are asymmetric, so that the effect of positive shock during the recession period in the Iranian economy during the studied period was stronger than the negative shock level. On the other hand, the results show that the effect of positive shocks during the boom period in the Iranian economy on the price level changes its size in proportion to the size of the shock; however, the effect of negative shocks during the boom on the level of prices initially reduced inflation and then after a short time Inflation increases again. Therefore, it can be stated that in the economy of Iran both inflation and economic boom will increase. In the case of production and investment, this asymmetry is in a way that results in a broader expansionary policy in a recession and, in economic prosperity, the optimal political policy is contractionary.

Keywords: Asymmetric Effects, Monetary Shocks, GDP, Investment, Business Cycles, Dynamic Stochastic General Equilibrium Model (DSGE model) and Hodrick-Prescott Filter

Full-Text [PDF 4382 kb] (1951 Downloads)

Type of Study: Applicable | Subject: پولی و مالی
Received: 2016/04/24 | Accepted: 2017/10/16 | Published: 2017/12/16

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