Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran
The purpose of this article is to investigate the effects of monetary policy through monetary transmission channels (interest channel, exchange rate channel, credit channel and expectations channel) in the short and long term during the period 1386Q1-1396Q4. For this purpose, using the structural ve...
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| Format: | Article |
| Language: | fas |
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Semnan University
2023-12-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_8223_d41d8cd98f00b204e9800998ecf8427e.pdf |
| _version_ | 1797296718504525824 |
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| author | Mahshid Tabatabaie zavareh Beitollah Akbadri Moghaddam Farhad Ghaffari |
| author_facet | Mahshid Tabatabaie zavareh Beitollah Akbadri Moghaddam Farhad Ghaffari |
| author_sort | Mahshid Tabatabaie zavareh |
| collection | DOAJ |
| description | The purpose of this article is to investigate the effects of monetary policy through monetary transmission channels (interest channel, exchange rate channel, credit channel and expectations channel) in the short and long term during the period 1386Q1-1396Q4. For this purpose, using the structural vector autoregression model of the effects Monetary policy was examined through channels. The experimental results obtained by estimating the relationships between variables using the SVAR approach based on statistical data show that in the short and long term, the exchange rate channel is the most effective channel in the transmission of monetary policy, so that the variable of expectations has both the most effect in the short term and long-term on this channel, after the exchange rate channel, there are expectations channel, and after that, credits and interest rate channel, which have the greatest impact in the short and long term, respectively.Finally, by examining the relative importance of monetary transfer channels to each other, it can be pointed out that with the passage of time, the influence of the channels will change, so that with price shocks, the expectations channel has the greatest impact in the short term, and the medium term of the effective money and the interest rate channel is effective in the long term. |
| first_indexed | 2024-03-07T22:08:51Z |
| format | Article |
| id | doaj.art-23a3857d75824ffd98b69294b3d2b6b6 |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:08:51Z |
| publishDate | 2023-12-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-23a3857d75824ffd98b69294b3d2b6b62024-02-23T18:10:01ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502023-12-018410.22075/jem.2023.29184.17878223Short-term and long-term monetary transmission policy based on structural vector auto regression model in IranMahshid Tabatabaie zavareh0Beitollah Akbadri Moghaddam1Farhad Ghaffari2Ph.D. Student of Economics, Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, IranAssociate Professor of the Faculty of Management and Accounting, Department of Economics, Qazvin Branch, Islamic Azad University ,Qazvin ,IranAssociate Professor of the Faculty of Management and Economics, Islamic Azad University Science and Research Branch University ,Tehran, Iran،The purpose of this article is to investigate the effects of monetary policy through monetary transmission channels (interest channel, exchange rate channel, credit channel and expectations channel) in the short and long term during the period 1386Q1-1396Q4. For this purpose, using the structural vector autoregression model of the effects Monetary policy was examined through channels. The experimental results obtained by estimating the relationships between variables using the SVAR approach based on statistical data show that in the short and long term, the exchange rate channel is the most effective channel in the transmission of monetary policy, so that the variable of expectations has both the most effect in the short term and long-term on this channel, after the exchange rate channel, there are expectations channel, and after that, credits and interest rate channel, which have the greatest impact in the short and long term, respectively.Finally, by examining the relative importance of monetary transfer channels to each other, it can be pointed out that with the passage of time, the influence of the channels will change, so that with price shocks, the expectations channel has the greatest impact in the short term, and the medium term of the effective money and the interest rate channel is effective in the long term.https://jem.semnan.ac.ir/article_8223_d41d8cd98f00b204e9800998ecf8427e.pdfstructural vector auto regression modelmoney transfer mechanismmoney transfer channels |
| spellingShingle | Mahshid Tabatabaie zavareh Beitollah Akbadri Moghaddam Farhad Ghaffari Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran مدلسازی اقتصادسنجی structural vector auto regression model money transfer mechanism money transfer channels |
| title | Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran |
| title_full | Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran |
| title_fullStr | Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran |
| title_full_unstemmed | Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran |
| title_short | Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran |
| title_sort | short term and long term monetary transmission policy based on structural vector auto regression model in iran |
| topic | structural vector auto regression model money transfer mechanism money transfer channels |
| url | https://jem.semnan.ac.ir/article_8223_d41d8cd98f00b204e9800998ecf8427e.pdf |
| work_keys_str_mv | AT mahshidtabatabaiezavareh shorttermandlongtermmonetarytransmissionpolicybasedonstructuralvectorautoregressionmodeliniran AT beitollahakbadrimoghaddam shorttermandlongtermmonetarytransmissionpolicybasedonstructuralvectorautoregressionmodeliniran AT farhadghaffari shorttermandlongtermmonetarytransmissionpolicybasedonstructuralvectorautoregressionmodeliniran |