The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach
The main purpose of this paper is to examine the effect of trade openness and government size on macroeconomic volatility. Economic theories do not clearly show the effects of trade openness and government size on macroeconomic volatility. Therefore, this is essentially an empirical problem. Hence,...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
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Semnan University
2018-06-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_3687_174cdb75cea46942998556526d602a97.pdf |
| _version_ | 1797296703983845376 |
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| author | naser elahi hasan heydari seyed ziaeddin kiaalhoseini Mohammad amin Abolhasani chimeh |
| author_facet | naser elahi hasan heydari seyed ziaeddin kiaalhoseini Mohammad amin Abolhasani chimeh |
| author_sort | naser elahi |
| collection | DOAJ |
| description | The main purpose of this paper is to examine the effect of trade openness and government size on macroeconomic volatility. Economic theories do not clearly show the effects of trade openness and government size on macroeconomic volatility. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the effect of trade openness and government size on macroeconomic volatility in Iran over the period of 1352-1395. For this, first, the macroeconomic uncertainty was extracted using stochastic volatility model with leverage effects by technique of principal component analysis. The results showed that in the long run, trade openness and government expenditures have a positive effect on macroeconomic volatility in Iran. In addition, in the short run, there is no significant relationship between the relevant variables and macroeconomic volatility. |
| first_indexed | 2024-03-07T22:08:39Z |
| format | Article |
| id | doaj.art-e6ad9f79f1384e20869c55d804ee864a |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:08:39Z |
| publishDate | 2018-06-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-e6ad9f79f1384e20869c55d804ee864a2024-02-23T18:37:53ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502018-06-0133113710.22075/jem.2019.17030.12673687The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approachnaser elahi0hasan heydari1seyed ziaeddin kiaalhoseini2Mohammad amin Abolhasani chimeh3Associate Professor, Department of Economics, University of MofidAssistance Professor, Department of Management and Economics, University of Tarbiat ModaresAssistance Professor, Department of Economics, University of MofidPhD. Student in Economics, Department of Economics, University of MofidThe main purpose of this paper is to examine the effect of trade openness and government size on macroeconomic volatility. Economic theories do not clearly show the effects of trade openness and government size on macroeconomic volatility. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the effect of trade openness and government size on macroeconomic volatility in Iran over the period of 1352-1395. For this, first, the macroeconomic uncertainty was extracted using stochastic volatility model with leverage effects by technique of principal component analysis. The results showed that in the long run, trade openness and government expenditures have a positive effect on macroeconomic volatility in Iran. In addition, in the short run, there is no significant relationship between the relevant variables and macroeconomic volatility.https://jem.semnan.ac.ir/article_3687_174cdb75cea46942998556526d602a97.pdfgovernment sizetrade opennessmacroeconomic volatilitystochastic volatility model with leverage effect |
| spellingShingle | naser elahi hasan heydari seyed ziaeddin kiaalhoseini Mohammad amin Abolhasani chimeh The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach مدلسازی اقتصادسنجی government size trade openness macroeconomic volatility stochastic volatility model with leverage effect |
| title | The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach |
| title_full | The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach |
| title_fullStr | The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach |
| title_full_unstemmed | The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach |
| title_short | The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach |
| title_sort | effect of trade openness and government size on macroeconomic volatility in iran a stochastic volatility model svm approach |
| topic | government size trade openness macroeconomic volatility stochastic volatility model with leverage effect |
| url | https://jem.semnan.ac.ir/article_3687_174cdb75cea46942998556526d602a97.pdf |
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