Nonlinear Evaluation of the Role of Monetary Transmission Channels in Iran: MSVAR Approach (in Persian)

Ali Mahdiloo (), Hossain Asgharpour () and Firouz Fallahi
Additional contact information
Ali Mahdiloo: Tabriz University
Hossain Asgharpour: Tabriz University
Authors registered in the RePEc Author Service: Hossein asgharpur ()

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2018, vol. 11, issue 37, 319-355

Abstract: Studying the monetary transmission mechanisms help to analyze the effects of the transmission channels and is also useful for identifying the contribution of each channel in monetary transmission. This paper is aimed to investigate the role of housing price, stock prices, exchange rate and credit channels in the monetary policy transmission. Since due to structural changes, non-linear transfer of monetary policies and change in the relationship between variables over time is possible, in this study, we use MSVAR for considering these structural changes in different regimes. This model includes variables like GDP, consumer price index, base of money, land price index, Tehran Stock Exchange index, informal exchange rate, the bankschr('39') loans to the private sector which are collected during the 1991Q1 and 2015Q4. The results indicate in the first regime (years before 2006), credit channel in short-term, exchange rate channel in midterm and housing price channel in long-term have the most role in the mechanism of transition to production, While in the regime0 (years after 2006), credit channel in the short run, the housing price channel in the midterm and the stock price channel, in the long run, have had the largest share in the transfer of the effects of money on production. On the other hand, monetary policy in the regime through the channel of the exchange rate and in the regime0 through the credit channel has had the most impact on the price level.

JEL-codes: C01 C58 E50 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://jmbr.mbri.ac.ir/article-1-880-en.pdf (application/pdf)
http://jmbr.mbri.ac.ir/article-1-880-en.html (text/html)
http://jmbr.mbri.ac.ir/article-1-880-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:mbr:jmbres:v:11:y:2018:i:37:p:319-355

Access Statistics for this article

More articles in Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی) from Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran Contact information at EDIRC.
Bibliographic data for series maintained by M. E. ().