A Structured Vector Autoregressive (VAR)   for Iranian Economy

Khiabani, Nasser; Pajuyan, Jamshid; Komeyjani, Akbar

Document Type : Research Paper

Authors

Professor, Faculty of Economics, Allameh Tababtabai University

Abstract

This paper is based on a cointegrated I(2) and I(1) variables models money, price, output, real effective exchange rate and interest rates in Iran over period 1990 quarter 1-2006 quarter 4. The empirical findings demonstrated long-run homogeneity between price and money was broken down and the hypothesis of the stable money demand relationship was not confirmed in the period, instead of this we found a relation which determines inflation based on liquidity ratio and real effective exchange rate. Money supply growth significantly explains output growth in the period. In addition, the paper provides further insights about the effects of financial repression on output and determining the behavior of opportunity cost of money in Iran.

References

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Economics Research

A Structured Vector Autoregressive (VAR) for Iranian Economy

References

References

Volume 10, Issue 36 - Serial Number 1
April 2010
Pages 87-113

A Structured Vector Autoregressive (VAR) for Iranian Economy

References

References

Volume 10, Issue 36 - Serial Number 1April 2010Pages 87-113

Volume 10, Issue 36 - Serial Number 1
April 2010
Pages 87-113