s
yazdan gudarzi farahani; Zoleikha Morsali Arzanagh; Mohsen Mehrara; ebrahim abbasi
Abstract
The purpose of this article is to investigate the effects of uncertainty of economic policies in business cycles on macroeconomic variables. In this study, a stochastic dynamic general equilibrium approach and statistical data for the period 1370-1401 have been used. In this study, based on the analysis ...
Read More
The purpose of this article is to investigate the effects of uncertainty of economic policies in business cycles on macroeconomic variables. In this study, a stochastic dynamic general equilibrium approach and statistical data for the period 1370-1401 have been used. In this study, based on the analysis of the period of boom and recession, the shock from the uncertainty component of economic policy in this period was investigated on macroeconomic variables. The obtained results have shown that during the boom period, the effects of economic policy uncertainty shock on variables such as production, investment, and consumption were less than during the recession period, and during the recession period, the negative effect of this shock on the mentioned variables was more severe. In addition to this, the effect of economic policy uncertainty shock on the variables of inflation rate, interest rate and exchange rate has also been positive during economic boom and recession and has led to an increase in these nominal variables.
s
Leila Gholami Heidariani; Reza Ranjpour; Firoz Fallahi
Abstract
In this study, we investigate the relationship between stocks cycles and business cycles in Iran, using the spillover index approach of Diebold and Yilmaz (2012, 59). The dynamic interaction between financial cycles and business cycles is used by rolling window estimation and spillover plots. We use ...
Read More
In this study, we investigate the relationship between stocks cycles and business cycles in Iran, using the spillover index approach of Diebold and Yilmaz (2012, 59). The dynamic interaction between financial cycles and business cycles is used by rolling window estimation and spillover plots. We use data of GDP cycles as business cycle and also data of total stock price index, the stock price index in industry and the stock price index in finance based on quarterly data during 1998Q3-2018Q1. We have investigated the relationship between business cycle and stocks cycles along with exchange rate, oil incomes and liquidity. The results show that the total spillovers index increases in during periods of economic recessions. Also, the business cycle, oil cycle and exchange rate cycle are more impressionable market and the total stock, industry stock, finance cycle and liquidity cycle are more influential market than other markets.
