Identifying the Role of Financial Shocks in Iran’s Economy (in Persian)

Saman Fallahi () and Teymour Rahmani ()
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Saman Fallahi: Ph.D. Student, Faculty of Economics, University of Tehran
Teymour Rahmani: Associate Professor, University of Tehran, Iran

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2019, vol. 23, issue 4, 3-35

Abstract: One of the most attractive fields of research in applied macroeconomics is identifying the role of different shocks in business cycles. After the recent financial crisis (2007-2008), more attention has been drawn to the financial sector to explain economic fluctuations. In this study, we examine the role of financial shocks (loan supply shock, housing price shock, and stock market shock) alongside the real and monetary shocks (aggregate supply, aggregate demand, monetary policy, and investment shocks) in Iran’s business cycles. We use the sign restrictions VAR model in order to identify different shocks structurally. Two models have been estimated using the Bayesian method and seasonal data over the time period 1370:1- 1395:4 (1991:2-2017:1). The findings indicate that the financial shocks, especially the loan supply shock, are of great importance in explaining the fluctuations of the real economy. In addition, our results show that the role of financial shock is more significant in explaining the recent recession of Iran’s economy.

Keywords: Sign Restrictions VAR; Bayesian Estimation; Financial Shocks; Business Cycle. (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:auv:jipbud:v:23:y:2019:i:4:p:3-35

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