A Long Run Structural Macroeconometric Model for Iran
We employ the modelling strategy of Garratt, Lee, Pesaran and Shin (2003a) to estimate a structural cointegrating VARX* model for Iran in which core macroeconomic variables of the Iranian economy are related to current and lagged values of a number of key foreign variables. The long run macroeconomi...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2012-03-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_2881_db9c1d3c51b98320a225a81139f115b1.pdf |
| _version_ | 1797369418889560064 |
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| author | Majid Sameti Bahareh Teimouri |
| author_facet | Majid Sameti Bahareh Teimouri |
| author_sort | Majid Sameti |
| collection | DOAJ |
| description | We employ the modelling strategy of Garratt, Lee, Pesaran and Shin (2003a) to estimate a structural cointegrating VARX* model for Iran in which core macroeconomic variables of the Iranian economy are related to current and lagged values of a number of key foreign variables. The long run macroeconomic relations for real money balances, interest rates, output, prices and exchange rates are identified and tested within this framework over the period 1979Q1-2007Q4. We make use of generalised impulse response functions to analyze the dynamic properties of the model following a shock to exogenous variables (oil prices and foreign interest rates). We also examine via the persistence profiles, the speed of adjustments to the long run relations following a system-wide shock. The results show that money demand relation and UIP-PPP (international parity conditions jointly) are not rejected within the model. Furthermore, these two long run relations have well-behaved persistence profiles in which the effects of system wide-shocks on the long run relations are transitory and die out eventually. However, both UIP-PPP and the money demand relations exhibit sluggish rates of adjustments to shocks. We also provide evidence for the excessive importance of oil price shocks for Iranian economy in our impulse response analysis. |
| first_indexed | 2024-03-08T17:46:34Z |
| format | Article |
| id | doaj.art-ed9d72f025c548ed9190b9818c417cbb |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:46:34Z |
| publishDate | 2012-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-ed9d72f025c548ed9190b9818c417cbb2024-01-02T10:28:57ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452012-03-011750991372881A Long Run Structural Macroeconometric Model for IranMajid Sameti0Bahareh Teimouri1Associate professor, University of IsfahanPh.D. Candidate, University of IsfahanWe employ the modelling strategy of Garratt, Lee, Pesaran and Shin (2003a) to estimate a structural cointegrating VARX* model for Iran in which core macroeconomic variables of the Iranian economy are related to current and lagged values of a number of key foreign variables. The long run macroeconomic relations for real money balances, interest rates, output, prices and exchange rates are identified and tested within this framework over the period 1979Q1-2007Q4. We make use of generalised impulse response functions to analyze the dynamic properties of the model following a shock to exogenous variables (oil prices and foreign interest rates). We also examine via the persistence profiles, the speed of adjustments to the long run relations following a system-wide shock. The results show that money demand relation and UIP-PPP (international parity conditions jointly) are not rejected within the model. Furthermore, these two long run relations have well-behaved persistence profiles in which the effects of system wide-shocks on the long run relations are transitory and die out eventually. However, both UIP-PPP and the money demand relations exhibit sluggish rates of adjustments to shocks. We also provide evidence for the excessive importance of oil price shocks for Iranian economy in our impulse response analysis.https://ijer.atu.ac.ir/article_2881_db9c1d3c51b98320a225a81139f115b1.pdfcointegrated vector autoregression (varx*)long run relationsiranian economyoil priceshockforeign interest rate shock |
| spellingShingle | Majid Sameti Bahareh Teimouri A Long Run Structural Macroeconometric Model for Iran فصلنامه پژوهشهای اقتصادی ایران cointegrated vector autoregression (varx*) long run relations iranian economy oil price shock foreign interest rate shock |
| title | A Long Run Structural Macroeconometric Model for Iran |
| title_full | A Long Run Structural Macroeconometric Model for Iran |
| title_fullStr | A Long Run Structural Macroeconometric Model for Iran |
| title_full_unstemmed | A Long Run Structural Macroeconometric Model for Iran |
| title_short | A Long Run Structural Macroeconometric Model for Iran |
| title_sort | long run structural macroeconometric model for iran |
| topic | cointegrated vector autoregression (varx*) long run relations iranian economy oil price shock foreign interest rate shock |
| url | https://ijer.atu.ac.ir/article_2881_db9c1d3c51b98320a225a81139f115b1.pdf |
| work_keys_str_mv | AT majidsameti alongrunstructuralmacroeconometricmodelforiran AT baharehteimouri alongrunstructuralmacroeconometricmodelforiran AT majidsameti longrunstructuralmacroeconometricmodelforiran AT baharehteimouri longrunstructuralmacroeconometricmodelforiran |