The Effect of Monetary Policy Shocks on Macroeconomic Variables with Focusing on Central Bank Independence (in Persian)

Mohsen Niazi Mohseni (), Hamid Shahrestani (), Kambiz Hojabr Kiani () and Farhad Ghafari ()
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Mohsen Niazi Mohseni: Iran
Hamid Shahrestani: Iran
Kambiz Hojabr Kiani: Iran
Farhad Ghafari: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2018, vol. 11, issue 36, 151-182

Abstract: In recent years, the effect of monetary policy on Macroeconomic Variables, and examining the role of central bank independence have been a challenging debate to which it has not produced any similar results in different studies. Accordingly, this study aims at examining the effect of the shock caused by monetary policy on macroeconomic variable considering the index of central bank independence. In this study, according to existing theoretical principles, we estimate Structural Vector Auto Regression (SVAR) which contain Monetary Policy Variables (legal reserve rate & interest rate), index of central bank independence, index of interest rate, inflation rate and oil price and use Impulse Response Function and Variance Decomposition for interpreting the results. In this order, we use Iran’s macroeconomic database from 1978 to 2016. This study came to a conclusion that the increase of legal reserve rate has, on the one side, meaningfully reduced economic growth rate, and, on the other side, central bank independence contributes to Variance Decomposition of inflation and economic growth rates. Additionally, central bank independence affects economic growth rate positively, and inflation rate negatively.

JEL-codes: D43 E31 L71 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:11:y:2018:i:36:p:151-182

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