Chaotic behavior which is based on nonlinearity and deterministic process has captured the attent... more Chaotic behavior which is based on nonlinearity and deterministic process has captured the attention of many mathematical economists in recent years. This behavior can put limits of predictability on the future behavior of a series. Thus, detecting the chaos in economics can help the policy designer to have a better understanding about the impact of monetary policy on real economy. This thesis tries to find the chaotic behavior in an economic dynamical system by performing both theoretical and empirical investigation. For the theoretical part Hopf bifurcation theorem is used. The Existence of bifurcation ensure us the availability of being limited cycles. The results of this part show that there exists the Hopf bifurcation between the parameters of the model. Empirically this thesis used the Brock, Dechert and Scheinkman (BDS) test to detect the chaotic behavior in the system. The BDS is a portmanteau test which can be used against a variety of possible independence including nonlin...
This paper estimates the effects of an increase in Iran’s non-oil exports on its economic growth ... more This paper estimates the effects of an increase in Iran’s non-oil exports on its economic growth as well as sectoral outputs, using a single country, comparative static, exogenous policy Computable General Equilibrium (CGE) model. The paper also investigates the share of tradable sectors in reaching to the targeted growth rate (8%) in 5 th socio-economic development plan. For this purpose, the parameters of the model are calibrated based on Iran’s Social Accounting Matrix (SAM) which carries a snapshot of the Iran’s economy. The model is then used to simulate the impact of increasing the exports uniformly across all sectors by 10, 20, and 30 percent on endogenous variables, including sectoral outputs, and GDP. Results suggest that 2.03% of targeted economic growth rate would be achieved by encouraging a 6% growth in exports. Our finding also indicates that industry and mine sector in Iran, would have more influence on growth than other non-oil sectors.
Today, banking system plays a very important role in growth and development of countries. From th... more Today, banking system plays a very important role in growth and development of countries. From the very beginning of banks establishment, they have two main and traditional tasks, namely, the equipping and allocation of resources. These two important tasks are implemented so that they collect the people's deposits on one hand and put it in various forms of allocation, on the other hand. In performing these tasks, banks face different internal and external barriers that affect their responsibilities. One of the external factors affecting the banking system is the volatile environment of economy and macroeconomic uncertainty. The macroeconomic instability and uncertainty ultimately reflect into two main variables of each economy, namely, production and inflation. This research seeks to investigate the effect of uncertainty and instability of macroeconomic variables (production and inflation) on the resources and expenditures of Iran banking system using GARCH techniques and Error ...
We estimate the impact of trade liberalization and physical and human capital accumulation on Ira... more We estimate the impact of trade liberalization and physical and human capital accumulation on Iran’s economic growth during the period 1959−2007. Using co-integration techniques and a vector error correction model, we find a unique long-run relationship between economic growth and its major determinants. These determinants include the physical and human capital stock, the labor force, real non-oil exports, and import
The aim of the present study is to detect the chaotic behavior in monetary economic relevant dyna... more The aim of the present study is to detect the chaotic behavior in monetary economic relevant dynamical system. The study employs three different forms of Taylor rules: current, forward, and backward looking. The result suggests the existence of the chaotic behavior in all three systems. In addition, the results strongly represent that using expectations in policy rule especially rational expectation hypothesis can increase complexity of the system and leads to more chaotic behavior.
VAR Blanchard and Quah decomposition In this study the quarterly data from 1996:1-2011:2 have bee... more VAR Blanchard and Quah decomposition In this study the quarterly data from 1996:1-2011:2 have been used to investigate the effect of financial crisis on potential output in Iran. For this purpose potential output, natural unemployment rate, spread between short-run and long-run interest rate and real money supply variables are used to estimate Auto Regressive Model and analyze Impulse-Response function and Variance Decomposition. The results show that financial crisis has negative impact on potential output in Iran. Also, monetary shocks have negative impact on potential output in Iran. As regards, monetary policy have no effect on actual output in long-run, it seems that monetary policies have considered the long-run targets. Variance decomposition of potential output shows that, potential output is influenced from natural unemployment about 51 percent and spread between short-run and long-run interest rate variable is influenced about 45 percent from real money supply in long-run....
This thesis discusses the concept of chaos in monetary policy games, which I believe to be novel.... more This thesis discusses the concept of chaos in monetary policy games, which I believe to be novel. The mathematical framework developed in this thesis addresses two important problems in monetary theory, namely, the time-inconsistency and the complexity in designing, conducting and predicting the impacts of monetary policy on the economy. Considering a noncooperative non-zero-sum differential monetary policy game between the central bank and the public when the coefficients of the system depend on the state and control variables, it is shown that the co-state variables of both players are controllable in three solution concepts. The controllability of the co-state variables means that the monetary policy is time inconsistent even in the open loop Nash game, which is known as a time-consistent policy game in the literature. In other words, the results confirm that the structural time-inconsistency of monetary policy is almost always unavoidable. To better understand how monetary polic...
This paper investigates the impact of the international and domestic volatility of monetary polic... more This paper investigates the impact of the international and domestic volatility of monetary policy shocks on a small economy using the GARCH-SVAR model. We enrich the SVAR model by using time-varying International and domestic volatilities as endogenous variables. The results show that although monetary policy shocks have transient effect on real economy (neutrality of money) the impact of the volatility of monetary policy shocks on real part of the economy is permanent and significant. Findings of variance decomposition also show that New Zealand heavily depends on international trade, so international monetary shocks can have a permanent impact on the local economy.
This paper investigates the impact of the international and domestic volatility of monetary polic... more This paper investigates the impact of the international and domestic volatility of monetary policy shocks using the GARCH-VAR model. We enrich the VAR model by adding time-varying volatility as endogenous variables. We consider three different types of shocks: internal (domestic), regional and global. For our empirical evidence we use quarterly data of Australia and New Zealand from 1988:1 to 2014:1. The data are collected from datastream. We employ the correlation of supply shocks between New Zealand/Australia and the USA, UK and the Euro area to find the main source of the global shocks. Results show that the supply shock correlation between New Zealand and UK is positive and of course bigger than the others. But for Australia the correlation of supply shocks by the United States are positive and bigger. This study assumes that the source of regional shocks is from Australian economy. We find a large amount of the volatility of monetary policy in New Zealand during period of 1988 ...
International Journal of Economics and Financial Issues, 2018
<p>This paper investigates the impact of the international and domestic volatility of monet... more <p>This paper investigates the impact of the international and domestic volatility of monetary policy shocks on the economy of New Zealand using the spectrum-SVAR approach. We enrich the SVAR model by using time-varying global and domestic volatility as endogenous variables. The results show that although monetary policy shocks have transient effect on the real economy impact of the volatility of monetary policy shocks on the real part of the economy is permanent and relatively significant. Findings reveal that the supply shocks have a permanent impact on the supply side of New Zealand. The results of variance decomposition also show that New Zealand heavily depends on international shocks, so these types of shock can have a permanent impact on the local economy. Finally, the results of periodogram and significant pass filter suggest at least two deterministic cycles in the volatility of monetary policy.</p><p><strong>Keywords:</strong> Spectral Analysis; Volatility of Monetary Policy; Structural VAR</p><p><strong>JEL Classifications: </strong>C32; C54; E52</p><p> <span lang="EN-US">DOI: <a href="https://doi.org/10.32479/ijefi.6749">https://doi.org/10.32479/ijefi.6749</a></span></p>
Chaotic behavior which is based on nonlinearity and deterministic process has captured the attent... more Chaotic behavior which is based on nonlinearity and deterministic process has captured the attention of many mathematical economists in recent years. This behavior can put limits of predictability on the future behavior of a series. Thus, detecting the chaos in economics can help the policy designer to have a better understanding about the impact of monetary policy on real economy. This thesis tries to find the chaotic behavior in an economic dynamical system by performing both theoretical and empirical investigation. For the theoretical part Hopf bifurcation theorem is used. The Existence of bifurcation ensure us the availability of being limited cycles. The results of this part show that there exists the Hopf bifurcation between the parameters of the model. Empirically this thesis used the Brock, Dechert and Scheinkman (BDS) test to detect the chaotic behavior in the system. The BDS is a portmanteau test which can be used against a variety of possible independence including nonlin...
This paper estimates the effects of an increase in Iran’s non-oil exports on its economic growth ... more This paper estimates the effects of an increase in Iran’s non-oil exports on its economic growth as well as sectoral outputs, using a single country, comparative static, exogenous policy Computable General Equilibrium (CGE) model. The paper also investigates the share of tradable sectors in reaching to the targeted growth rate (8%) in 5 th socio-economic development plan. For this purpose, the parameters of the model are calibrated based on Iran’s Social Accounting Matrix (SAM) which carries a snapshot of the Iran’s economy. The model is then used to simulate the impact of increasing the exports uniformly across all sectors by 10, 20, and 30 percent on endogenous variables, including sectoral outputs, and GDP. Results suggest that 2.03% of targeted economic growth rate would be achieved by encouraging a 6% growth in exports. Our finding also indicates that industry and mine sector in Iran, would have more influence on growth than other non-oil sectors.
Today, banking system plays a very important role in growth and development of countries. From th... more Today, banking system plays a very important role in growth and development of countries. From the very beginning of banks establishment, they have two main and traditional tasks, namely, the equipping and allocation of resources. These two important tasks are implemented so that they collect the people's deposits on one hand and put it in various forms of allocation, on the other hand. In performing these tasks, banks face different internal and external barriers that affect their responsibilities. One of the external factors affecting the banking system is the volatile environment of economy and macroeconomic uncertainty. The macroeconomic instability and uncertainty ultimately reflect into two main variables of each economy, namely, production and inflation. This research seeks to investigate the effect of uncertainty and instability of macroeconomic variables (production and inflation) on the resources and expenditures of Iran banking system using GARCH techniques and Error ...
We estimate the impact of trade liberalization and physical and human capital accumulation on Ira... more We estimate the impact of trade liberalization and physical and human capital accumulation on Iran’s economic growth during the period 1959−2007. Using co-integration techniques and a vector error correction model, we find a unique long-run relationship between economic growth and its major determinants. These determinants include the physical and human capital stock, the labor force, real non-oil exports, and import
The aim of the present study is to detect the chaotic behavior in monetary economic relevant dyna... more The aim of the present study is to detect the chaotic behavior in monetary economic relevant dynamical system. The study employs three different forms of Taylor rules: current, forward, and backward looking. The result suggests the existence of the chaotic behavior in all three systems. In addition, the results strongly represent that using expectations in policy rule especially rational expectation hypothesis can increase complexity of the system and leads to more chaotic behavior.
VAR Blanchard and Quah decomposition In this study the quarterly data from 1996:1-2011:2 have bee... more VAR Blanchard and Quah decomposition In this study the quarterly data from 1996:1-2011:2 have been used to investigate the effect of financial crisis on potential output in Iran. For this purpose potential output, natural unemployment rate, spread between short-run and long-run interest rate and real money supply variables are used to estimate Auto Regressive Model and analyze Impulse-Response function and Variance Decomposition. The results show that financial crisis has negative impact on potential output in Iran. Also, monetary shocks have negative impact on potential output in Iran. As regards, monetary policy have no effect on actual output in long-run, it seems that monetary policies have considered the long-run targets. Variance decomposition of potential output shows that, potential output is influenced from natural unemployment about 51 percent and spread between short-run and long-run interest rate variable is influenced about 45 percent from real money supply in long-run....
This thesis discusses the concept of chaos in monetary policy games, which I believe to be novel.... more This thesis discusses the concept of chaos in monetary policy games, which I believe to be novel. The mathematical framework developed in this thesis addresses two important problems in monetary theory, namely, the time-inconsistency and the complexity in designing, conducting and predicting the impacts of monetary policy on the economy. Considering a noncooperative non-zero-sum differential monetary policy game between the central bank and the public when the coefficients of the system depend on the state and control variables, it is shown that the co-state variables of both players are controllable in three solution concepts. The controllability of the co-state variables means that the monetary policy is time inconsistent even in the open loop Nash game, which is known as a time-consistent policy game in the literature. In other words, the results confirm that the structural time-inconsistency of monetary policy is almost always unavoidable. To better understand how monetary polic...
This paper investigates the impact of the international and domestic volatility of monetary polic... more This paper investigates the impact of the international and domestic volatility of monetary policy shocks on a small economy using the GARCH-SVAR model. We enrich the SVAR model by using time-varying International and domestic volatilities as endogenous variables. The results show that although monetary policy shocks have transient effect on real economy (neutrality of money) the impact of the volatility of monetary policy shocks on real part of the economy is permanent and significant. Findings of variance decomposition also show that New Zealand heavily depends on international trade, so international monetary shocks can have a permanent impact on the local economy.
This paper investigates the impact of the international and domestic volatility of monetary polic... more This paper investigates the impact of the international and domestic volatility of monetary policy shocks using the GARCH-VAR model. We enrich the VAR model by adding time-varying volatility as endogenous variables. We consider three different types of shocks: internal (domestic), regional and global. For our empirical evidence we use quarterly data of Australia and New Zealand from 1988:1 to 2014:1. The data are collected from datastream. We employ the correlation of supply shocks between New Zealand/Australia and the USA, UK and the Euro area to find the main source of the global shocks. Results show that the supply shock correlation between New Zealand and UK is positive and of course bigger than the others. But for Australia the correlation of supply shocks by the United States are positive and bigger. This study assumes that the source of regional shocks is from Australian economy. We find a large amount of the volatility of monetary policy in New Zealand during period of 1988 ...
International Journal of Economics and Financial Issues, 2018
<p>This paper investigates the impact of the international and domestic volatility of monet... more <p>This paper investigates the impact of the international and domestic volatility of monetary policy shocks on the economy of New Zealand using the spectrum-SVAR approach. We enrich the SVAR model by using time-varying global and domestic volatility as endogenous variables. The results show that although monetary policy shocks have transient effect on the real economy impact of the volatility of monetary policy shocks on the real part of the economy is permanent and relatively significant. Findings reveal that the supply shocks have a permanent impact on the supply side of New Zealand. The results of variance decomposition also show that New Zealand heavily depends on international shocks, so these types of shock can have a permanent impact on the local economy. Finally, the results of periodogram and significant pass filter suggest at least two deterministic cycles in the volatility of monetary policy.</p><p><strong>Keywords:</strong> Spectral Analysis; Volatility of Monetary Policy; Structural VAR</p><p><strong>JEL Classifications: </strong>C32; C54; E52</p><p> <span lang="EN-US">DOI: <a href="https://doi.org/10.32479/ijefi.6749">https://doi.org/10.32479/ijefi.6749</a></span></p>
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