Shocks in Iran's Business Cycle: Dynamic Stochastic General Equilibrium Models Approach

Saadat, Rahman; Abounori, Esmaiel; Reiskarami, Fatemeh

doi:10.22034/jepr.2024.140259.1065

Document Type : Original Article

Authors

¹ Associate Professor, Department of Economics, Faculty of Economics and Management, Semnan University, Semnan, Iran

² Professor, Department of Economics, Faculty of Economics and Management, Semnan University, Semnan, Iran.

³ Ph.D. Student in International Economics, Department of Economics, Faculty of Economics and Management, Semnan University, Semnan, Iran.

https://doi.org/10.22034/jepr.2024.140259.1065

Abstract

Analyzing the business cycle in a small open economy based on macroeconomic models is critical for the successful implementation of forward-looking and counter-cyclical macroeconomic policies. In this study, in the framework of the new Keynesian school, using the Bayesian likelihood approach, a dynamic stochastic general equilibrium (DSGE) model suitable for the structure of Iran's economy has been specified and estimated using seven macroeconomic time series during the period 1375-1400. Using the results of the model and using the estimated parameters, the effects of shocks such as productivity shock, consumption shock, interest rate shock, investment shock, wage shock and inflation shock on some macroeconomic variables using image functions. Instant action has been investigated.

The results of the study indicate that the productivity shock and the consumption shock have a positive effect on investment, production and consumption and reduce inflation. The interest rate shock causes a decrease in investment, production, consumption, and employment. Investment shock also increases investment, production, consumption and inflation. Wage markup shock has a negative effect on wages, production and consumption and causes an increase in inflation and final cost.

Keywords

Main Subjects

General Equilibrium Models

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Economic Policies and Research

Shocks in Iran's Business Cycle: Dynamic Stochastic General Equilibrium Models Approach

References

References

Volume 2, Issue 2 - Serial Number 6
July 2023
Pages 139-174

Shocks in Iran's Business Cycle: Dynamic Stochastic General Equilibrium Models Approach

References

References

Volume 2, Issue 2 - Serial Number 6July 2023Pages 139-174

Volume 2, Issue 2 - Serial Number 6
July 2023
Pages 139-174