Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression Approach
The credit cycles have a major effect on the behavior of economic enterprises during periods of boom and recession. The change in the behavior of economic enterprises leads to its contagion to real and nominal sectors in the economy. On the other hand, the currency crises have influenced the investm...
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| Format: | Article |
| Language: | fas |
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Semnan University
2023-09-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_7843_3d6b00e88e7512f2b531997e6067de2b.pdf |
| _version_ | 1797296742936346624 |
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| author | Yazdan Gudarzi Farahani Omidali Adeli |
| author_facet | Yazdan Gudarzi Farahani Omidali Adeli |
| author_sort | Yazdan Gudarzi Farahani |
| collection | DOAJ |
| description | The credit cycles have a major effect on the behavior of economic enterprises during periods of boom and recession. The change in the behavior of economic enterprises leads to its contagion to real and nominal sectors in the economy. On the other hand, the currency crises have influenced the investment decisions of various economic sectors. The purpose of this paper was to examine the relationship between credit cycles and currency crises in Iran. In this study, the variable coefficients approach was used over time for the period of 1991-2020. In this regard, credit cycles and currency crises have been used by the Christiano-Filtzgerald filter and the adjusted index of currency crises. The results showed that there has been a coincidence between credit cycles and currency crises in the country. Also, the results showed that the currency crisis had a negative effect on the GDP and economic growth in the country. In addition, it was observed that credit cycles have led to economic growth during boom times and decreased economic growth during recessions. |
| first_indexed | 2024-03-07T22:09:12Z |
| format | Article |
| id | doaj.art-758e745e6e4b4758a14b3eda472fe8d1 |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:09:12Z |
| publishDate | 2023-09-01 |
| publisher | Semnan University |
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| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-758e745e6e4b4758a14b3eda472fe8d12024-02-23T18:09:51ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502023-09-018393310.22075/jem.2023.30231.18247843Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression ApproachYazdan Gudarzi Farahani0Omidali Adeli1Assistant Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, University of Qom, QomAssociate Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, University of Qom, QomThe credit cycles have a major effect on the behavior of economic enterprises during periods of boom and recession. The change in the behavior of economic enterprises leads to its contagion to real and nominal sectors in the economy. On the other hand, the currency crises have influenced the investment decisions of various economic sectors. The purpose of this paper was to examine the relationship between credit cycles and currency crises in Iran. In this study, the variable coefficients approach was used over time for the period of 1991-2020. In this regard, credit cycles and currency crises have been used by the Christiano-Filtzgerald filter and the adjusted index of currency crises. The results showed that there has been a coincidence between credit cycles and currency crises in the country. Also, the results showed that the currency crisis had a negative effect on the GDP and economic growth in the country. In addition, it was observed that credit cycles have led to economic growth during boom times and decreased economic growth during recessions.https://jem.semnan.ac.ir/article_7843_3d6b00e88e7512f2b531997e6067de2b.pdfcredit cyclescurrency crisesmonetary policyinstabilitytime varying parameter vector auto-regression |
| spellingShingle | Yazdan Gudarzi Farahani Omidali Adeli Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression Approach مدلسازی اقتصادسنجی credit cycles currency crises monetary policy instability time varying parameter vector auto-regression |
| title | Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression Approach |
| title_full | Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression Approach |
| title_fullStr | Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression Approach |
| title_full_unstemmed | Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression Approach |
| title_short | Dynamics Relationship between Credit Cycles and Currency Crises in Iran with a Time Varying Parameter Vector Auto-Regression Approach |
| title_sort | dynamics relationship between credit cycles and currency crises in iran with a time varying parameter vector auto regression approach |
| topic | credit cycles currency crises monetary policy instability time varying parameter vector auto-regression |
| url | https://jem.semnan.ac.ir/article_7843_3d6b00e88e7512f2b531997e6067de2b.pdf |
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