Measuring Uncertainty in Macroeconomics (in Persian)

Reza Heibati (), Hoshang Shajari () and Saeid Samadi ()
Additional contact information
Reza Heibati: Iran
Hoshang Shajari: Iran
Saeid Samadi: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2016, vol. 9, issue 28, 223-250

Abstract: In this study we have introduced new time series measures of macroeconomic uncertainty for Iranchr('39')s economy. We attempt to provide superior econometric estimates of macro uncertainty and consider its dynamics during 1370-1393. This measure is extracted as a common latent stochastic process from many series, sectors, and markets at the same time, and then its robustness has been evaluated. Dynamics of macro uncertainty reflect the most important economic episodes of the Iranchr('39')s economy. According to the baseline estimates, macro uncertainty has striking rise during the 1370-1372, 1373-1374 and 1390-1392 recession periods, so that the baseline estimate reaches its highest level in spring 1372, spring 1374 and fall 1391. Furthermore, it turns out that, among the dataset, real exchange rate and government expenditure uncertainties are highly correlated with macro uncertainty. Thus, these uncertainties played a crucial role in shaping macro uncertainty shocks in Iran.

JEL-codes: C53 D81 E32 G12 G35 L25 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://jmbr.mbri.ac.ir/article-1-482-en.pdf (application/pdf)
http://jmbr.mbri.ac.ir/article-1-482-en.html (text/html)
http://jmbr.mbri.ac.ir/article-1-482-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:9:y:2016:i:28:p:223-250

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. ().