Investigation of Markov Dynamic General Equilibrium Marking Model (MS-DSGE) in order to Develop Iran's Monetary-Economic System

Journal of System Management

مقاله 3، دوره 9، شماره 2 - شماره پیاپی 34، تیر 2023، صفحه 29-53   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.30495/jsm.2022.1971216.1697

نویسندگان

Mohammad Ghasemi^{* 1}؛ Kiomars Soheili²؛ Shahram Fattahi²

¹Ph. D. candidate. (Economics), Faculty of Social Sciences, Razi University, Kermanshah, Iran

²Associate Professor of Economics, Razi University, Kermanshah, Iran

چکیده

Iran has experienced major structural and economic changes over the past four decades. In the major experimental literature, researchers believe that these changes have manifested themselves as changes in the dynamics of macroeconomic variables, so that a number of articles have focused on documenting these changes. Understanding what lies behind it and the consequences of these changes is clearly important for monetary policy. This study empirically examines how the behavior of monetary policy in Iran has changed in response to various structural shocks, which is done using the Markov switching model of dynamic random equilibrium. In this study, the Markov Stochastic Dynamic General Equilibrium Model (MS-DSGE) is estimated, which causes changes in the coefficients of the monetary policy law as well as shock fluctuations with Iranian data from 1350 to 1396. We find that regime change, both in monetary policy legislation and in shock fluctuations, is a fundamental adjustment in improving the fit of the model. Our results show that structural shock fluctuations have also changed over time. Hence, the highest instability impulse of real output is due to the monetary policy index impulse and the least impact is due to the imposition of financial liberalization. Among all the factors, the greatest impact is due to the impulse of revolution and war. The least impact belongs to the shock of oil revenues on the shocks of the monetary policy index with coefficient.

کلیدواژه‌ها

Macroeconomic Dynamics؛ Economic Impulses؛ Stochastic Dynamic General Equilibrium Model - Markov Switching (MS-DSGE)

مراجع

1. Airaudo, M. (2021). Consistent Expectations Equilibria in MARKOV Regime Switching models and Inflation Dynamics. International Journal of Economics Review, 6(12), 148-166. org/10.1111/iere.12529
2. Ann, N., Chin-Hong, P., Affendy, A., Tai-Hock, K. (2019). Oil Price and Fijian Tourism Cycle: A Markov Regime-switching Model. International Journal of Energy Economics and Policy, 9(6), 188-192. Doi:10.32479/ijeep.8087
3. Benigno, G. (2021). Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach, NewYork: Federal Reserve Bank of San Francisco Working Paper.
4. Calvo, G. (1983). Staggered prices in a utility-maximizing framework. Journal of Monetary Economy. 12(3), 383-398. doi:10.1016/0304-3932(83)90060-0
5. Dziewulski, P. (2022). Markov distributional equilibrium dynamics in games with Complementarities and no aggregate risk. International Journal of Theoretical Economics 17 (62), 725-762. org/10.3982/TE4624
6. ElFayoumi, K. (2018). Structural Reforms and Labor Reallocation: A Cross-Country Analysis. IMF Working Paper 18/64, International Monetary Fund, Washington, DC.
7. Farmer, R., Waggoner, D., Zha, T., (2011). Minimal state variable solutions to Markovswitching rational expectations models. Journal of Economic Control, (35), 2150-2166. org/10.1016/j.jedc.2011.08.005
8. Fathi Vajargah, K., Eslami Mofid Abadi, H., Abbasi, E. (2021). Oil Price estimating Under Dynamic Economic Models Using Markov Chain Monte Carlo Simulation Approach. Advances in Mathematical Finance and Applications, 6(3), 631-651. doi: 22034/amfa.2020.1902265.1446
9. Foerster, A., Matthes, C. (2021). Learning about Regime Change. Indiana: Indiana University.
10. Gali, J., Monacelli, T., (2005). Monetary policy and exchange rate volatility in a small open economy. Journal of Review Economic Study. (72), 707-734. org/10.1111/j.1467-937X.2005.00349.x
11. Ghiasi, S., soltanpanah, H., Fatemi, A., & Shojaei, A. (2022). Development of Product Space Theory for Systemic Analysis of Industries in Kermanshah Province. Journal of System Management, 8(4), 33-47. doi: 10.30495/jsm.2022.1961993.1670
12. Gyamerah, S., Ngare, P. (2018). Regime-switching model on hourly electricity spot price dynamics. Journal of Mathematical Finance, 8(1), 102-110.
13. Justiniano, A., Preston, B., (2010). Monetary policy and uncertainty in an empirical small open-economy model. Journal of Applied Economy. (25), 93-128. org/10.1002/jae.1153
14. Karami, A., Salimian, M., Mokhtari, M., & Agha Ahmadi, G. (2020). Independent Organization Model Based on Managers' Economic and Organizational Policies. Journal of System Management, 6(1), 219-230. doi: 10.30495/jsm.2020.673661
15. Kheilnejad, H., Taherikia, F., Jalali, S. M., & Tabrizian, B. (2020). Designing and Identifying the Variables of the Pricing Model for the Company’s Brand Value in Merger and Acquisition Strategies. Journal of System Management, 6(1), 149-162. doi: 10.30495/jsm.2020.673655
16. Laeven, L., Valencia. F. (2018). Systemic Banking Crises Revisited. IMF Working Paper 18/206, International Monetary Fund, Washington, DC.
17. Liu, P., Mumtaz, H. (2011). Evolving macroeconomic dynamics in a small open economy: an estimated Markov switching DSGE model for the UK. Journal of Money Credit Bank, (43), 1443-1474. org/10.1111/j.1538-4616.2011.00431.x
18. Mensch, J. (2020). On the existence of monotone pure strategy perfect Bayesian equilibrium in games with complementarities. Journal of Economic Theory, (187), 727- 737.
19. Monacelli, T. (2005). Monetary policy in a low pass-through environment. Journal of Money Credit Bank, (37), 1047-1066. doi:10.1353/mcb.2006.0007
20. Perla, J., Tonetti, C., Waugh, E. (2021). Equilibrium Technology Diffusion, Trade, and Growth. American Economic Review, 111(1), 73-128. doi: 10.1257/aer.20151645
21. Ramey, V. (2020). The Macroeconomic Consequences of Infrastructure Investment. NBER Working Paper, National Bureau of Economic Research, California: University of California.
22. Sims, C. (2006). Were there regime switches in U.S. monetary policy? American Economic Review, (96), 54-81. doi: 10.1257/000282806776157678
23. Tavakolian, H. (2021). Dynamic Stochastic General Equilibrium Models in Iran: Deterministic or Stochastic Steady State?. Journal of Economic Research (Tahghighat- E- Eghtesadi), 55(4), 781-812. doi:10.22059/jte.2021.317990.1008424
24. Veldhoen, M., Simas, J. (2021). Endemic SARS- CoV-2 Will Maintain Post-pandemic Immunity. Nature Reviews Immunology, 21(3), 131-152. doi: 10.1038/s41577-020-00493-9
25. Xin, X., Sun, M., Liu, B., Li, Y. (2022). A More Realistic Markov Process Model for Explaining the Disjunction Effect in One-Shot Prisoner’s Dilemma Game. Journal of Mathematics, 10(24), 834- 859. org/10.3390/math10050834