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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 | ||
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References
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