Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economy
One of the signs of a healthy economy is the stability of macroeconomic components such as exchange rate, inflation, budget deficit, and foreign trade sector. In the current study, using the TVP-QVAR model, in the period of 1385:01-1397:12, with a monthly frequency, the method of transfer, receive,...
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| Format: | Article |
| Language: | fas |
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Semnan University
2023-05-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_7737_ba3379872bb415a3341282c6b73c0e3b.pdf |
| _version_ | 1797296727196172288 |
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| author | Vahid Omidi Yazdan Gudarzi farahani Soheil Roudari |
| author_facet | Vahid Omidi Yazdan Gudarzi farahani Soheil Roudari |
| author_sort | Vahid Omidi |
| collection | DOAJ |
| description | One of the signs of a healthy economy is the stability of macroeconomic components such as exchange rate, inflation, budget deficit, and foreign trade sector. In the current study, using the TVP-QVAR model, in the period of 1385:01-1397:12, with a monthly frequency, the method of transfer, receive, and also the cause of transfer of volatilities between exchange rate, inflation, budget deficit, and the current account has been investigated. The research results showed that if the growth of the variables is at low, average, and high levels, the type of communication between them will also be different. Specifically, there has been more relationship between research variables' volatilities in low and high growth rates. Also, in the case of a high growth rate, only the exchange rate volatilities cause inflation, current account deficit, and government budget deficit. On the other hand, the government budget deficit has affected the current account deficit only in the case of a low growth rate. |
| first_indexed | 2024-03-07T22:08:58Z |
| format | Article |
| id | doaj.art-43363a1b02a94edfb92b1879d7aee764 |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:08:58Z |
| publishDate | 2023-05-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-43363a1b02a94edfb92b1879d7aee7642024-02-23T18:09:15ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502023-05-018112915710.22075/jem.2023.29051.17837737Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economyVahid Omidi0Yazdan Gudarzi farahani1Soheil Roudari2Assistant Professor in Economics, Department of Economics, University of QomAssistant Professor in Economics, Department of Economics, University of QomAssistant Professor in Economics, Department of Economics, University of QomOne of the signs of a healthy economy is the stability of macroeconomic components such as exchange rate, inflation, budget deficit, and foreign trade sector. In the current study, using the TVP-QVAR model, in the period of 1385:01-1397:12, with a monthly frequency, the method of transfer, receive, and also the cause of transfer of volatilities between exchange rate, inflation, budget deficit, and the current account has been investigated. The research results showed that if the growth of the variables is at low, average, and high levels, the type of communication between them will also be different. Specifically, there has been more relationship between research variables' volatilities in low and high growth rates. Also, in the case of a high growth rate, only the exchange rate volatilities cause inflation, current account deficit, and government budget deficit. On the other hand, the government budget deficit has affected the current account deficit only in the case of a low growth rate.https://jem.semnan.ac.ir/article_7737_ba3379872bb415a3341282c6b73c0e3b.pdfexchange ratepatinkin effecttwins deficittvp-qvar |
| spellingShingle | Vahid Omidi Yazdan Gudarzi farahani Soheil Roudari Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economy مدلسازی اقتصادسنجی exchange rate patinkin effect twins deficit tvp-qvar |
| title | Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economy |
| title_full | Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economy |
| title_fullStr | Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economy |
| title_full_unstemmed | Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economy |
| title_short | Investigating the quantile time-varying relationship between exchange rate, current account deficit, government budget deficit, and inflation in the Iranian economy |
| title_sort | investigating the quantile time varying relationship between exchange rate current account deficit government budget deficit and inflation in the iranian economy |
| topic | exchange rate patinkin effect twins deficit tvp-qvar |
| url | https://jem.semnan.ac.ir/article_7737_ba3379872bb415a3341282c6b73c0e3b.pdf |
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