Investigating the Business Cycles of the Iranian Economy by Considering the Effect of Financial Accelerator in the Form of a DSGE Model (in Persian)

Abolfazl Garmabi (), Ahmadreza Jalali-Naiini () and Hossein Tavakolian
Additional contact information
Abolfazl Garmabi: Institute for Management and Planning Studies, Tehran, Iran
Ahmadreza Jalali-Naiini: Institute for Management and Planning Studies, Tehran, Iran.

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2021, vol. 26, issue 1, 33-67

Abstract: The present study attempts to analyze the effect of the financial accelerator component on the business cycles of the Iranian economy by considering the financial friction in the process of obtaining bank loans. In addition, the inclusion of banks 'capital adequacy ratio in the model enters the role of banks' balance sheets in the occurrence of financial friction in the Iranian economy. Weak credit rating of bank customers in Iran makes it possible to use a document-based approach to properly understand the financial friction in the credit system, instead of using the inspection algorithm of lending banks and covering their costs through different interest rates. For this purpose, a dynamic stochastic general equilibrium model (DSGE) is designed in accordance with the structural features of the Iranian economy, and is estimated using the Bayesian approach and seasonal data in the period 2009-2020. The results indicate that taking the financial sector into account leads to a more accurate understanding of the fluctuations of business cycles in the Iranian economy. This is determined by comparing the instantaneous reaction functions of the main variables of the model in two scenarios with different degrees of financial friction. The results of the study also show that the changes due to the financial accelerator component in the impact of monetary shocks and productivity are more noticeable than other shocks.

Keywords: Business Cycles; Financial Accelerator; Financial Friction; DSGE Model; Bayesian Estimation (search for similar items in EconPapers)
JEL-codes: C11 E31 E32 E44 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://jpbud.ir/article-1-2007-en.pdf (application/pdf)
http://jpbud.ir/article-1-2007-en.html (text/html)
http://jpbud.ir/article-1-2007-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:26:y:2021:i:1:p:33-67

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 ).