بررسی ارتباط متقابل چرخه های مالی با کسب و کار در اقتصاد ایران

Interrelationship Between Financial Cycles and Business Cycles in Iran's Economy

Mosayeb Pahlvani, Seyed Hossein Mirjalili and Nafiseh Keshtgar

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, using a multivariate structural time series model including four key macroeconomic and financial variables of Iran, we devised short and medium term cycles for Iran's economy. The new aspect of the approach is that through the estimated cycles, the short and medium dynamics of these variables are decomposed. The results indicated that cyclic movements of credit and mortgage volumes are mainly influenced by the medium-term cycle, while cyclical movements of macroeconomic variables are affected by the short-term and medium-term cycles. Also, there is a co-movement between the cycles of financial variables and macroeconomics, mainly in the medium term. On the other hand, there is a strong co-cyclicality between the short-term cycles of GDP and industrial production. Therefore, the short-term industrial production cycle is a good approximation to the short-run GDP cycle. There is a significant co-cyclicality between credits and GDP in the medium term. This result supports the idea that the medium-term fluctuations in GDP are partly due to the boom-bust pattern in credit. There is also a strong indirect co-cyclicality between the mid-term GDP and mortgage cycles.

Keywords: short and medium term cycles; Maximum Likelihood estimator; Kalman Filter; Multivariate Structural time series cycles. (search for similar items in EconPapers)
JEL-codes: C32 E32 G10 (search for similar items in EconPapers)
Date: 2018-04-06, Revised 2018-05-25
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Published in Journal of financial Economics 43.12(2018): pp. 1-20

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