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

Pahlvani, Mosayeb and Mirjalili, Seyed hossein and Keshtgar, Nafiseh (2018): بررسی ارتباط متقابل چرخه های مالی با کسب و کار در اقتصاد ایران. Published in: Journal of financial Economics , Vol. 12, No. 43 (14 September 2018): pp. 1-20.

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.

• Item Type: MPRA Paper
• English Title: Interrelationship Between Financial Cycles and Business Cycles in Iran's Economy
• Language: Persian
• Keywords: short and medium term cycles, Maximum Likelihood estimator, Kalman Filter, Multivariate Structural time series cycles.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; G - Financial Economics > G1 - General Financial Markets > G10 - General

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