Volume 10, Issue 37 (10-2019)
jemr 2019, 10(37): 69-103 |
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Chashti M, Lotfalipour M R, Behname M, Enrahimi Salari T. Evaluating the Impacts of Balance of Payments Variables Shock on Selected Macroeconomic Variables Using FAVAR. jemr 2019; 10 (37) :69-103
URL: http://jemr.khu.ac.ir/article-1-1882-en.html
URL: http://jemr.khu.ac.ir/article-1-1882-en.html
1- Ferdowsi University of Mashhad
2- Ferdowsi University of Mashhad ,lotfalipour@um.ac.ir
2- Ferdowsi University of Mashhad ,
Abstract: (4282 Views)
International balance of payments is one of the most common criteria for measuring the flow of trade and capital transfers in an open economy. The three main components of this balance are: trade balance, current account (or difference between export and import of goods and services) and capital account. In this study, factor augmented vector autoregressive model (FAVAR) was used to evaluate the effects of balance of payments shocks on macroeconomic variables in the Iran economy in periode 1989-2017. The factors used in this study included economic growth, oil revenues, money growth, inflation, exchange rates and interest rates. The results show that the shock from the current account and capital account led to an increase in production, consumption and investment. The reaction of nominal sector variables such as inflation and interest rate to positive shock was also positive. Comparison of the results of this study shows that incorporation of hidden variables and factors into the model resulted in faster response of macroeconomic variables to the shocks entered by the balance of payments components.
Keywords: Balance Payments, Current Account, Capital Account, Exchange Rate, Factor Augmented Vector Auto-Regressive Model (FAVAR)
Type of Study: Applicable |
Subject:
تجارت و مالیه بین الملل
Received: 2019/07/8 | Accepted: 2019/12/16 | Published: 2019/12/24
Received: 2019/07/8 | Accepted: 2019/12/16 | Published: 2019/12/24
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