The Real Exchange Rate as a Monetary Transmission Mechanism in the Economy of Iran: A Dynamic Stochastic General Equilibrium Model (in Persian)

Sara Shahraki (), Ahmad Sabahi (), Mohammad Hossein Mahdavi Adeli () and Mostafa Salimifar ()
Additional contact information
Sara Shahraki: ferdowsi university of mashhad
Ahmad Sabahi: ferdowsi university of mashhad
Mohammad Hossein Mahdavi Adeli: ferdowsi university of mashhad
Mostafa Salimifar: ferdowsi university of mashhad

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2016, vol. 20, issue 4, 71-106

Abstract: This paper examines whether in the analysis of the impact of monetary policy, the exchange rate can play a role along with the interest rate as a transmission mechanism of monetary policy effects on economic variables or not? For this purpose, the general dynamic stochastic equilibrium models were used in the form of a New Keynesian small open macro-economy; accordingly, in this study, the Bayesian approach has been implemented to obtain the estimates of parameters and conclusion in this model. To this end, Dynare was used, which is a general and suitable tool for Bayesian estimation in the context of dynamic stochastic general equilibrium models. This model was designed for the economy of Iran, considering oil-based economies and the currency substitution existence. Then, its calibration and simulation were conducted with Iran's economic data for the period 1995-2011. The results from model validation, univariate and multivariate recognition of Markov Monte Carlo chain and analysis of the model impulse responses show that in Iran's economy, the exchange rate plays a role along with the interest rate as a monetary transmission mechanism.

Keywords: Small Open Macroeconomic; New Keynesian; Dynamic Stochastic General Equilibrium Model; Exchange Rate; Transmission Mechanism. (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://jpbud.ir/article-1-1144-en.pdf (application/pdf)
http://jpbud.ir/article-1-1144-en.html (text/html)
http://jpbud.ir/article-1-1144-fa.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:auv:jipbud:v:20:y:2016:i:4:p:71-106

Access Statistics for this article

More articles in The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه) from Institute for Management and Planning studies Contact information at EDIRC.
Bibliographic data for series maintained by Nahid Jebeli ( this e-mail address is bad, please contact ).