Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran
In this study, using the smooth transition regression (STR) and quarterly data during the period of 1997:1-2015:3, the nonlinear monetary policy functions of the Central Bank of Iran,regarding the risk of financial markets, be estimated. The results indicated that the risk of financial markets is an...
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| Format: | Article |
| Language: | fas |
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Semnan University
2018-09-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_3880_092bb06187ba58a08284ecf40c32aa71.pdf |
| _version_ | 1797296646565920768 |
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| author | Ahmad Jafari Samimi Amir Mansour Tehranchian Mohsen Nosratian Nasab |
| author_facet | Ahmad Jafari Samimi Amir Mansour Tehranchian Mohsen Nosratian Nasab |
| author_sort | Ahmad Jafari Samimi |
| collection | DOAJ |
| description | In this study, using the smooth transition regression (STR) and quarterly data during the period of 1997:1-2015:3, the nonlinear monetary policy functions of the Central Bank of Iran,regarding the risk of financial markets, be estimated. The results indicated that the risk of financial markets is an important factor in regime switching of monetary policy in Iran. By passing the risk of financial markets from a threshold level, monetary policy is focused on adjusting the output gap so that the coefficient of output gap is consistent with the Taylor rule in the second regime while in the linear part (the first regime) it is in contrast to the expected coefficient. This results indicate the variability of monetary policy behavior in various financial market risk situations. However, the coefficient of inflation gap in both regimes and both scenarios is not statistically significant. |
| first_indexed | 2024-03-07T22:07:47Z |
| format | Article |
| id | doaj.art-07465a42935c48978f5470589c44bbdb |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:07:47Z |
| publishDate | 2018-09-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-07465a42935c48978f5470589c44bbdb2024-02-23T18:38:41ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502018-09-013413516110.22075/jem.2019.17032.12683880Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in IranAhmad Jafari Samimi0Amir Mansour Tehranchian1Mohsen Nosratian Nasab2Professor in Economics, Department of Economics, University of MazandaranAssociate Professor in Economics, Department of Economics, University of MazandaranPh.D. Student in Economics, Department of Economics, University of MazandaranIn this study, using the smooth transition regression (STR) and quarterly data during the period of 1997:1-2015:3, the nonlinear monetary policy functions of the Central Bank of Iran,regarding the risk of financial markets, be estimated. The results indicated that the risk of financial markets is an important factor in regime switching of monetary policy in Iran. By passing the risk of financial markets from a threshold level, monetary policy is focused on adjusting the output gap so that the coefficient of output gap is consistent with the Taylor rule in the second regime while in the linear part (the first regime) it is in contrast to the expected coefficient. This results indicate the variability of monetary policy behavior in various financial market risk situations. However, the coefficient of inflation gap in both regimes and both scenarios is not statistically significant.https://jem.semnan.ac.ir/article_3880_092bb06187ba58a08284ecf40c32aa71.pdfmonetary policyrisk of financial marketnonlinear behaviorsmooth transition regression model |
| spellingShingle | Ahmad Jafari Samimi Amir Mansour Tehranchian Mohsen Nosratian Nasab Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran مدلسازی اقتصادسنجی monetary policy risk of financial market nonlinear behavior smooth transition regression model |
| title | Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran |
| title_full | Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran |
| title_fullStr | Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran |
| title_full_unstemmed | Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran |
| title_short | Nonlinear Reaction of Monetary Policies to the Risks of Financial Markets in Iran |
| title_sort | nonlinear reaction of monetary policies to the risks of financial markets in iran |
| topic | monetary policy risk of financial market nonlinear behavior smooth transition regression model |
| url | https://jem.semnan.ac.ir/article_3880_092bb06187ba58a08284ecf40c32aa71.pdf |
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