| تعداد نشریات | 24 |
| تعداد شمارهها | 859 |
| تعداد مقالات | 7,646 |
| تعداد مشاهده مقاله | 13,577,938 |
| تعداد دریافت فایل اصل مقاله | 11,684,538 |
Reconnoitering the effective Channels of Monetary Transmission Mechanism in Iran Using a Dynamic Stochastic General Equilibrium Model | ||
| Iranian Journal of Economic Studies | ||
| مقاله 3، دوره 6، شماره 2 - شماره پیاپی 12، اسفند 2017، صفحه 159-183 اصل مقاله (863.56 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2018.28774.1439 | ||
| نویسندگان | ||
| Hossein Marzban* 1؛ Parviz Rostamzadeh2؛ Jafar Ghaderi2؛ Abdulhamid Khosravi2 | ||
| 1Department of Economics , Shiraz University Shiraz, Iran. | ||
| 2Department of Economics, Shiraz University Shiraz, Iran. | ||
| چکیده | ||
| The purpose of the present research is to investigate the effective channels of the monetary transmission mechanism in Iran. To do so, we devised a New Keynesian Dynamic Stochastic General Equilibrium Model. In our model, the different types of nominal rigidities are introduced beside all the related structural equations, which are extracted and linearized around a steady state point. Furthermore, to design the DSGE model, two different monetary rules—Taylor and McCallum rules—are used. In other words, the different channels of monetary mechanisms are investigated on the basis of these two rules. To estimate the two mentioned models, seasonal data for the period 1990–2015 are collected. The estimation method used in the study is the Bayesian method. According to the results obtained from variance decomposition, in the Taylor rule-based, q-Tobin, interest rate, wealth and expectation channels are the effective channels in monetary transmission mechanisms; also, in the McCallum rule-based model monetary policy, wealth and expectation channels are the effective channels in monetary transmission mechanisms. In addition, based on the simulation results in the Taylor model, increasing interest rate causes a reduction in output, consumption, investment and capital utilization rate, and in the McCallum model, a positive monetary shock can cause an increase in preceding variables, which is a result of price rigidity. | ||
| کلیدواژهها | ||
| Monetary Transmission Mechanisms؛ General Equilibrium Model؛ Channels Transmission Mechanisms؛ Monetary Rules | ||
| مراجع | ||
|
References
Bernanki, B., & Blinder, Alan. (1998). Credit, money and aggregate demand. The American Economic Review, 78(2), 435-439. Boivin, J., & Kiley, M., & Mishkin, F. (2010). How Has the Monetary Transmission Mechanism Evolved Over Time? NBER Working Paper 15879. Calvo, G. (1983). Staggered prices in a utility maximizing framework. Journal of Monetary Economics. 12(3), 983-998. Christiano, L., Eichenbaum, M., & Evans, C. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy, 113 (1), 1-45. Ford, J., & Santoso, A. (2003). Bank behavior and the channel of monetary policy in Japan during 1965 – 1999. The Japanese Economic Review, 54(3), 275 – 299. Gali, J. (2007). Monetary Policy, Inflation and the Business Cycle, New Jersy, Princeton University Press. Gerali, A., & Neri, S., & Luca, S. (2010). Credit and banking in a DSGE model of the Euro area. Journal of Money, Credit and Banking, 42(1), 107-141. Koop, G. (2003). Bayesian Econometric, Chichester UK: John Wiley &sons. Komijani, A., & Alinejad, F. (2012). Evaluating effectiveness of monetary transmission channels on the output and inflation rate and analyzing their relative importance in Iran economy. Budget and Planning Journal, 17(2), 39 – 64. Kydland, F., & Prescott, E. (1982). Time to build and aggregate fluctuations. Econometrica, 50(6), 1345-1370. McCallum, B. (1999). Issues in the design of monetary policy rules. In Handbook of Macroeconomics, ed. J. B. Taylor and M. Woodford. Vol. 1C, 1483–1530. Amsterdam: North-Holland. Mohanty, M., & Turner, P. (2006). Foreign exchange reserve accumulation in emerging markets: What are the domestic implications? BIS Working Paper. Pourahmadi, R., Hadian, E., Sadraei Javaheri, A., & Shahnazi, R. (2017).Identifying the adopted monetary policy rule by the central bank of Iran. Iranian Journal of Economic Studies, 6(1), 87-107.
Skaperdas, A. (2017). How effective is monetary policy at the zero lower bound? Identification through industry heterogeneity. Finance and economics discussion series, Divisions of research & statistics and monetary affairs, Federal Reserve board. Senbet, D. (2016). Measuring the channels of monetary policy transmission: A Factor Augmented Vector Autoregressive (FAVAR) Approach. Journal of Central Banking Theory and Practice, 2, 5-40. Shah Hosseini, S., & Bahrami, J. (2016). Macroeconomic fluctuations and monetary transmission mechanism in Iran (DSGE model approach). Quarterly Economic Research, 60, 1- 48. Shahraki, S., Sabahi, A., & Mahdavi, – Adeli, M. (2015). Real exchange rate as a new monetary transmission mechanism in Iran economy: A DSGE model. Budget & Planning Journal, 4, 71 – 106. Sinelnikova, - Muryleva, E. (2017). Analysis of transmission mechanism of monetary policy of the bank of Russia in conditions of transition to inflation targeting. Working papers 041703, Russian Presidential. Smets, F., & Wouters, R. (2003). An estimated dynamic stochastic general equilibrium model of the Euro area. Journal of the European Economic Association,1(5),1123-1175. | ||
|
آمار تعداد مشاهده مقاله: 1,256 تعداد دریافت فایل اصل مقاله: 1,255 |
||