neda Asadollahzadeh Jafari; Bahar Hafezi; sayedmohsen Khalifehsoltani
Abstract
Most of businesses financing in the country done by the banking network and banking network play a very important role in achieving macroeconomic goals. Accordingly, in the present study, the effect of fluctuations of asset markets (exchange rate, oil price and stock market index) on financial instability ...
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Most of businesses financing in the country done by the banking network and banking network play a very important role in achieving macroeconomic goals. Accordingly, in the present study, the effect of fluctuations of asset markets (exchange rate, oil price and stock market index) on financial instability index over a period of 2009-2018 monthly is investigated by using the Markov Switching model. The wavelet transform model is used to extract exchange rate fluctuations, oil prices and stock market index. The results show that the effect of exchange rate fluctuations in different regimes and different time periods is different, so that in the short run the exchange rate fluctuations in the high regime of the financial instability index have a different effect than the other periods. Oil price fluctuations have a positive and significant effect in the medium- and long-term periods and in all regimes, and this effect will be stronger in the long run. Also, fluctuations in the stock market have a negative and significant effect only in the short run and under conditions of low regime of financial instability index. These results show that fluctuations have different effects with respect to time period as well as level of financial instability. Therefore, the management of foreign exchange rate and stock markets should take into the account of financial instability level and the timeframe for fluctuations.
Economic Growth
farhad ghalambaz; Ali Souri; Ghahraman Abdoli; Mohsen Ebrahimi
Abstract
Investigation of factors that affect economic growth has been always attractive. Foreign direct investment is one of the variables that have potential effects on growth. This study carried out to investigate the impact of foreign direct investment on economic growth. We consider the role of natural resources ...
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Investigation of factors that affect economic growth has been always attractive. Foreign direct investment is one of the variables that have potential effects on growth. This study carried out to investigate the impact of foreign direct investment on economic growth. We consider the role of natural resources using panel threshold regression model for 1996 to 2015 period and also emphasis on relationship between foreign direct investment and economic growth in Iran by Markov Switching Approach for 1976-2015. Panel threshold regression model formed based on Hansen’s (1999) suggested model then that estimated by Wang’s (2015) proposed method for fixed effect models. Results of threshold regression model showed that natural resources, domestic capital formation, population growth rate and governance indicator has statistically significant effect on economic growth. Threshold level for natural resources is 28.58 percentages. Foreign direct investment variable has different effect on economic growth in regimes. In first regime foreign direct investment increase economic growth but in second regime, that natural resources is more than threshold level, it decrease growth rate. Results of tow regimes Auto-Regressive Markov Switching model for Iran showed that foreign direct investment in recession regime is insignificant but this variable in boom regime has statistically significant effect and this relationship is negative.
Economic Growth
Ali Mahdiloo; Hosein Asgharpour; Mohammad Mehdi Barghi Oskooei
Volume 7, Issue 28 , September 2017, , Pages 17-32
Abstract
There are two major views on the subject of the relationship between the development of non-oil exports and economic growth. In first opinion, non-oil exports leads to economic growth through the increase in quality of inputs. In second opinion, economic growth will increase non-oil exports throughquantitative ...
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There are two major views on the subject of the relationship between the development of non-oil exports and economic growth. In first opinion, non-oil exports leads to economic growth through the increase in quality of inputs. In second opinion, economic growth will increase non-oil exports throughquantitative strengthening of inputs. In non-linear models there are the ability to calculate relationship between variables and causal variables in different regimes. For this reason non-linear causality models can have better results than linear causality models. For this purpose in this study a Markov Switching model is used to investigate non-linear causal relationship between economic growth and non-oil export in the years 1973-2013. The results indicate that in first regime (high growth) and second regime (low economic growth), there is no causality between exports and economic growth. The reason is lack of sufficient attention to production of other economic sectors during the oil boom. As a result, it causes the weakening of production, reduction of domestic production and international competitive power and finally reduction of the share of exports of goods and services in economic growth.
