Combining Zero and Sign Restrictions in VAR Models: Identifying Monetary Policy Shocks in Iran | ||
| Iranian Journal of Economic Studies | ||
| دوره 12، شماره 1 - شماره پیاپی 23، آذر 2023، صفحه 155-180 اصل مقاله (896.43 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2024.49785.1958 | ||
| نویسندگان | ||
| Mahboobeh khadem Nematollahy* ؛ Teymour Mohammadi؛ Abbas Shakeri؛ Ali Asghar Salem | ||
| Faculty of Economics,Allame Tabatab;i University,Tehran,Iran | ||
| چکیده | ||
| This study examines the impacts of demand, supply, exchange rate, and unconventional monetary policy (UMP) shocks on GDP, inflation, exchange rate, and interest rate in Iran. Using sign-restriction, short-run zero-restriction, and long-run zero-restriction inside vector autoregressive frameworks, we constructed three- and four-variable models incorporating real interest rate, real exchange rate, GDP, and inflation data spanning from 1961-Q1 to 2021-Q1. We executed a bootstrap resampling technique that satisfies the signs on loops. Our findings indicate that an unconventional monetary policy, particularly a negative monetary policy shock, results in an increase in GDP and a reduction in the real exchange rate, so significantly reducing inflation. An unconventional monetary policy may be implemented to stimulate the economy. Consequently, the novel combined approach facilitates the identification of unconventional monetary policy shocks and can be broadly applied to other economic shocks. The primary question of the study is whether UMP shocks in Iran can be estimated and identified through zero and sign restrictions. The study aims to identify UMP shocks by regressing a collection of variables pertinent to the decisions of the Central Bank of Iran (CBI). Introducing UMP in emerging market and developing economies (EMDEs) such as Iran aims to attainin their output and inflation targets | ||
| کلیدواژهها | ||
| Sign and zero restrictions؛ Monetary transmission؛ Negative interest rate؛ Unconventional monetary policy؛ Exchange rate | ||
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آمار تعداد مشاهده مقاله: 157 تعداد دریافت فایل اصل مقاله: 79 |
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