samineh qasemifar; Abolfazl Shahabadi; shamsolah shirinbakhsh; mirhosien mousavi; azam ahmadyan
Abstract
With the occurrence of major global financial crises and the widespread spread of crises in the economies of other countries, the importance of identifying and measuring crises and examining the effects of macroeconomics has become increasingly apparent. Hence in the present study, in order to quantify ...
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With the occurrence of major global financial crises and the widespread spread of crises in the economies of other countries, the importance of identifying and measuring crises and examining the effects of macroeconomics has become increasingly apparent. Hence in the present study, in order to quantify financial crises, following the basic portfolio theory approach, a systemic stress index has been designed for the Iranian economy during the period 2008-2019. The purpose of study is not only to identify the financial stress index of the Iranian economy, but also to examine whether financial stress can have irreversible effects on key economic variables. in this study, using Bayesian inference in vector autoregression models, the effects of financial stress on The format of growth model on the total factor productivity and its determinants has been analyzed. The results show that in both models the effects of financial stress shock on the factor total productivity is negative but also associated with relative durability At the same time, the reaction of the factor total productivity, the accumulation of internal research and development costs and the intensity of physical investment to the impulse of financial stress is more severe compared to the reaction of other variables. The findings of this study support the need to measure and in terms of financial stress index in macro policy decisions.
