Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economy
In this article we constructed a Macro Econometric Model based on Mixed frequency Data to assess the impacts of sanctions that are imposed on the Iranian economy. In doing so, a monthly index is developed to reveal the toughness of imposed sanctions throughout the time. This sanction index is a time...
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| Format: | Article |
| Language: | fas |
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Semnan University
2021-02-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_5156_60d3b92d8e00f38e3d4e6a5b3d1823a1.pdf |
| _version_ | 1797296696988794880 |
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| author | Mohammad Noferesty Mohamadreza Sezavar |
| author_facet | Mohammad Noferesty Mohamadreza Sezavar |
| author_sort | Mohammad Noferesty |
| collection | DOAJ |
| description | In this article we constructed a Macro Econometric Model based on Mixed frequency Data to assess the impacts of sanctions that are imposed on the Iranian economy. In doing so, a monthly index is developed to reveal the toughness of imposed sanctions throughout the time. This sanction index is a time series high frequency data which encompasses various types of economic sanctions against Iran and is used as an explanatory variable in foreign sector’s behavioral equations. The constructed model is based on economic theory and stylized facts of the Iranian economy. It contains 27 behavioral equations, 7 connecting equations and 33 identities and definitional equations. The parameters of the model are estimated using time series data for the period of 1959 to 2017. Dynamic simulations are used to confirm the model validation. To assess the impacts of sanctions, the model is simulated under the scenario of no sanctions and the results are compared with the actual case. According to the findings of this study, the complete lifting of sanctions will have effects such as increasing aggregate demand, increasing investment, increasing production, reducing imports of goods and increasing exports of goods. |
| first_indexed | 2024-03-07T22:08:30Z |
| format | Article |
| id | doaj.art-c7e7184170eb439ead00a1499e5fcd77 |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:08:30Z |
| publishDate | 2021-02-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-c7e7184170eb439ead00a1499e5fcd772024-02-23T18:42:08ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502021-02-016113116110.22075/jem.2021.22620.15595156Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economyMohammad Noferesty0Mohamadreza Sezavar1Associate Professor of Economics, Shahid Beheshti UniversityPhD Student of Economics, Shahid Beheshti UniversityIn this article we constructed a Macro Econometric Model based on Mixed frequency Data to assess the impacts of sanctions that are imposed on the Iranian economy. In doing so, a monthly index is developed to reveal the toughness of imposed sanctions throughout the time. This sanction index is a time series high frequency data which encompasses various types of economic sanctions against Iran and is used as an explanatory variable in foreign sector’s behavioral equations. The constructed model is based on economic theory and stylized facts of the Iranian economy. It contains 27 behavioral equations, 7 connecting equations and 33 identities and definitional equations. The parameters of the model are estimated using time series data for the period of 1959 to 2017. Dynamic simulations are used to confirm the model validation. To assess the impacts of sanctions, the model is simulated under the scenario of no sanctions and the results are compared with the actual case. According to the findings of this study, the complete lifting of sanctions will have effects such as increasing aggregate demand, increasing investment, increasing production, reducing imports of goods and increasing exports of goods.https://jem.semnan.ac.ir/article_5156_60d3b92d8e00f38e3d4e6a5b3d1823a1.pdfmidas-macro econometric model (midas-mem)iranian economysanction index with monthly frequency |
| spellingShingle | Mohammad Noferesty Mohamadreza Sezavar Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economy مدلسازی اقتصادسنجی midas-macro econometric model (midas-mem) iranian economy sanction index with monthly frequency |
| title | Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economy |
| title_full | Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economy |
| title_fullStr | Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economy |
| title_full_unstemmed | Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economy |
| title_short | Constructing a Mixed frequency Data Sampling Macro Econometric Model (MIDAS - EME) to assess the impact of sanctions imposed on the Iranian economy |
| title_sort | constructing a mixed frequency data sampling macro econometric model midas eme to assess the impact of sanctions imposed on the iranian economy |
| topic | midas-macro econometric model (midas-mem) iranian economy sanction index with monthly frequency |
| url | https://jem.semnan.ac.ir/article_5156_60d3b92d8e00f38e3d4e6a5b3d1823a1.pdf |
| work_keys_str_mv | AT mohammadnoferesty constructingamixedfrequencydatasamplingmacroeconometricmodelmidasemetoassesstheimpactofsanctionsimposedontheiranianeconomy AT mohamadrezasezavar constructingamixedfrequencydatasamplingmacroeconometricmodelmidasemetoassesstheimpactofsanctionsimposedontheiranianeconomy |