Evaluating the Effects of Systemic Stress on Total Factor Productivity with Bayesian Approach: A Case Study of Iranian Economy

Qasemifar, Samineh; Shahabadi, Abolfazl; Shirinbakhsh, Shamsolah; Mousavi, Mirhosien; Ahmadyan, Azam

doi:10.30473/egdr.2021.58993.6216

Document Type : ORIGINAL ARTICLE

Authors

¹ Ph.D. Candidate of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran

² Professor, Department of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran

³ Associate Professor of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran

⁴ Assistant Professor of Economics, Monetary and Banking Research Institute, Tehran, Iran

https://doi.org/10.30473/egdr.2021.58993.6216

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 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.

Keywords

References

ابراهیمی شقاقی، مرضیه؛ رهنمای رودپشتی، فریدون؛ مداحی، محمد ابراهیم؛ نیکومرام، هاشم و ترابی، تقی (1398). "مطالعه اثر شاخص استرس مالی بر رشد اقتصادی در ایران (رویکرد مقایسه‌ای مدل خطی و غیر خطی)". فصلنامه دانش مالی تحلیل اوراق بهادار، دوره 12، شماره 42، 106-85.

احمدیان، اعظم (1392). "ارزیابی شاخص‌های سلامت بانکی، در بانک‌های ایران". پژوهشکده پولی بانکی، کد گزارش MBRI-9222.

بانک مرکزی جمهوری اسلامی ایران (1387-1396). "نشریات و پژوهش‌ها". نماگرهای اقتصادی.

بانک مرکزی جمهوری اسلامی ایران (1396-1387). "نشریات و پژوهش‌ها". خلاصه تحولات اقتصادی کشور.

بهلولوند، الهه و فراهانی فرد، سعید (1400). "بررسی عوامل مؤثر بر توسعه مالی در ایران مبتنی بر رویکرد بیزین". فصلنامه علمی پژوهشی پژوهش‌های رشد و توسعه اقتصادی، دوره 12، شماره 42، 94-75.

حیدری، حسن؛ حقیقت، جعفر؛ کریمی تکانلو، زهرا و رنج‌پور، رضا (1399). "ارائه راهکاری جهت مدیریت نرخ سود بانکی ایران در چارچوب نظریات توسعه و سرکوب مالی". فصلنامه علمی پژوهشی پژوهش‌های رشد و توسعه اقتصادی، دوره 10، شماره 38، 136 44-31.

حیدریان، مریم؛ فلاحتی، علی و کریمی، محمدشریف (1398). "محاسبه شاخص استرس مالی و تحلیل تأثیرهای آن بر رشد اقتصادی ایران؛ کاربردی از مدل خودرگرسیون مارکوف سوئیچینگ". تحقیقات مالی، دوره 3، شماره 21، 447-417.

خلیلی عراقی، منصور ؛ برخورداری دورباش، سجاد و گلوانی، امین (1399). "بررسی تأثیر توسعه مالی بر کارایی سیاست پولی و هدف‌گذاری تورمی". فصلنامه علمی پژوهشی پژوهش‌های رشد و توسعه اقتصادی، دوره 10، شماره 39، 28-15.

درگاهی، حسن و نیک‌جو، فائزه (1391). "ساخت شاخص تنش مالی برای اقتصاد ایران و بررسی اثرات آن بر رشد اقتصادی". تحقیقات اقتصادی، دوره 4، شماره 47، 40-19.

رضاقلی‌زاده، مهدیه و رجب‌پور، حسنی (1400). "استرس مالی، ریسک سیاسی و رشد اقتصادی: شواهدی جدید از ایران". فصلنامه علمی پژوهشی پژوهش‌های رشد و توسعه اقتصادی، دوره 12، شماره 42، 74-59.

سلطانی‌نژاد، حامد؛ ناصرپوراسد، علیرضا؛ فلاح، جواد؛ محمدی، احمد؛ حقانی‌نسب، محمد و شهاب‌الدین‌پاریزی، حمید (1394). "پوشش نوسانات نرخ ارز: (بازار قراردادهای آتی)". تهران: مهر نوروز.

سوری، علی (1393). "اقتصادسنجی پیشرفته". چاپ اول، تهران: انتشارات نشر فرهنگ‌شناسی.

شاه‌آبادی، ابوالفضل و ساری گل، سارا (1395). "اثرات مستقیم و غیر مستقیم نفت بر بهره‌وری کل عوامل تولید اقتصاد ایران (با استفاده از روش سیستم معادلات همزمان)". فصلنامه علمی پژوهش‌های رشد و توسعه اقتصادی، دوره 7، شماره 28، 164-141.

شیرین‌بخش، شمس‌اله و صلوی‌تبار، شیرین (1395). "پژوهش‌های اقتصادسنجی با Eviews 8&9". تهران: انتشارات نور علم.

فتحی‌زاده، حسین؛ نونژاد، مسعود؛ حقیقت، علی و امینی‌فرد، عباس (1399). "رابطه بین رشد اقتصادی، شدت انرژی و توسعه مالی در بخش‌های اقتصاد ایران". فصلنامه علمی پژوهشی پژوهش‌های رشد و توسعه اقتصادی، دوره 10، شماره 40، 76-55.

فلاح‌پور، سعید؛ شیرکوند، سعید و قنبری، اکبر (1398). "طراحی شاخص استرس مالی در نظام مالی ایران با رویکرد نظریه پرتفوی". فصلنامه نظریه‌های کاربردی اقتصاد، دوره 6، شماره 2، 134-101.

کردلویی، حمیدرضا و آسیایی طاهری، فاطمه (1394). "تعیین شاخص استرس مالی در بازارهای بانکداری، ارز، بیمه". فصلنامه مدیریت کسب و کار، دوره 8، شماره 30، 18-1.

Aboura, S. & Van Roye, B. (2017). “Financial Stress and Economic Dynamics: The Case of France”. International Economics, 149(1), 57-73.

Aydin, N., Alrajhi, A. N. & Jouini, J. H. (2018). “Estimating the Impact of R&D Spending on Total Factor Productivity for OECD Countries: Pooled Mean Group Approach”. The Journal of Developing Areas, 52(2), 159-168.

Azam, M., Khan, S., Zainal, Z. B., Karuppiah, N. & Khan, F. (2015). “Foreign Direct Investment and Human Capital: Evidence from Developing Countries”. Investment Management and Financial Innovations, 12(3), 155-162.

Banco de Espa˜na. (2013). “Systemic Risk Indicator”. Financial Stability Report, 17–19.

Barro, R. J. & Lee, J. W. (1996). “International Measures of Schooling Years and Schooling Quality”. The American Economic Review, 86(2), 218-223.

Becker, G. S. (1962). “Investment in Human Capital: A Theoretical Analysis”. Journal of Political Economy, 70(5), 9-49.

Benhabib, J. & Spiegel, M. M. (1994). “The Role of Human Capital in Economic Development: Evidence from Aggregate Cross-Country Data”. Journal of Monetary Economics, 34(2), 143-173.

Cambón, M. I. & Estévez, L. (2016). “A Spanish Financial Market Stress Index (FMSI)”. Spanish Review of Finance & Economics, 14(1), 23–41.

Cevik, E. I., Dibooglu, S. & Kutan, A. M. (2013). “Measuring Financial Stress in Transition Economies”. Journal of Financial Stability, 9(4), 597–611.

Ciołek, D. & Brodzicki, T. (2017). “Spatial Dependence Structure of Total Factor Productivity in Polish Local Administrative Districts. Acta Universitatis Lodziensis”. Folia Oeconomica, 3(329), 73-92.

Coe, D. T., Helpman, E. & Hoffmaister, A. W. (1997). “North-south R & D Spillovers”. The Economic Journal, 107(440), 134-149.

Coe, D. T., Helpman, E. & Hoffmaister, A. W. (2009). “International R&D Spillovers and Institutions”. European Economic Review, 53(7), 723-741.

Danquah, M., Moral-Benito, E. & Ouattara, B. (2014). “TFP Growth and its Determinants: a Model Averaging Approach”. Empirical Economics, 47(1), 227-251.

Dahalan, J., Abdullah, H. B. & Umar, M. (2016). “Measuring Financial Stress Index for Malaysian Economy”. International Journal of Economics and Financial, 6(3), 942-947.

Dixit, A. K. & Stiglitz, J. E. (1977). “Monopolistic Competition and Optimum Product Diversity”. The American Economic Review, 67(3), 297-308.

Dissou, Y., Didic, S. & Yakautsava, T. (2016). “Government Spending on Education, Human Capital Accumulation, and Growth”. Economic Modelling, 58(C), 9-21.

El-Shal, A. (2012). “The Spillover Effects of the Global Financial Crisis on Economic Activity in Emerging Economies–Investigating the Egyptian Case Using the Financial Stress index”. Economic Research Forum, Working Papers (No. 737).

Ferrer, R., Jammazi, R., Bolós, V. J. & Benítez, R. (2018). “Interactions between Financial Stress and Economic Activity for the US: A time-and Frequency-Varying Analysis Using Wavelets”. Physica A: Statistical Mechanics and its Applications, 492(4), 446-462.

Gilchrist, S. & Zakrajsek, E. (2012). “Credit Spreads and Business Cycle Fluctuations”. American Economic Review. 102(4), 1692–1720.

Griliches, Z. (1988). “Productivity Puzzles and R&D: Another Nonexplanation”. Journal of Economic Perspectives, 2(4), 9-21.

Grossman, G. M. & Helpman, E. (1991). “Quality Ladders in the Theory of Growth”. The Review of Economic Studies, 58(1), 43-61.

Grossman, G. M. & Helpman, E. (1994). “Endogenous Innovation in the Theory of Growth”. Journal of Economic Perspectives, 8(1), 23-44.

Ha, J. & Howitt, P. (2007). “Accounting for Trends in Productivity and R&D: A Schumpeterian Critique of Semi‐Endogenous Growth Theory”. Journal of Money, Credit and Banking, 39(4), 733-774.

Hollo, D., Kremer, M. & Duca, L. M. (2012). “CISS- a Composite Indicator of Systemic Stress in the Financial System”. Working Paper (1426), European Central Bank.

Hu, M. C. & Mathews, J. A. (2005). “National Innovative Capacity in East Asia”. Research Policy, 34(9), 1322-1349.

Hubrich, K. & Tetlow, R. (2015). “Financial Stress and Economic Dynamics: the Transmission of Crises”. Journal of Monetary Economics, 70(C), 100–115.

Huotari, J. (2015). “Measuring Financial Stress– a Country Specific Stress Index for Finland”. Bank of Finland Research Discussion Paper, No (7).

Illing, M. & Liu, Y. (2006). “Measuring Financial Stress in a Developed Country: An Application to Canada”. Journal of Financial Stability, 2(3), 243-265.

Ishrakieh, L. M., Dagher, L. & El Hariri, S. (2020). “A Financial Stress Index for a Highly Dollarized Developing Country: the Case of LebanonCentral Bank Review, 20(2), 43-52.

Jindra, B. & Rojec, M. (2014). “Knowledge Spillovers from FDI and Positioning of CEECs in times of a Global Shift in Production and Innovation– a Policy Perspective (Vol. 214). GRINCOH Working Paper Series No.

Johansson, T. & Bonthron, F. R. (2013). “Further Development of the Index for Financial Stress for Sweden”. Sveriges Riksbank Economic Review, 1(3), 1-20.

Juhro, S. M., Narayan, P. K., Iyke, B. N. & Trisnanto, B. (2020). “Is There a Role for Islamic Finance and R&D in Endogenous Growth Models in the Case of Indonesia”. Pacific-Basin Finance Journal, 62(C), 101297.

Khazalipoor, N. & Ranjbar, H. (2014). “The Impact of Financial Stress on Iran Per Capita GDP Over the Period 2000(3)-2011(1)”. Journal of Money and Economy, 9(2), 117-137.

Kijek, A. & Kijek, T. (2020). “Nonlinear Effects of Human Capital and R&D on TFP: Evidence from European Regions. Sustainability, 12(5), 1-14.

Levine, O. & Warusawitharana, M. (2019). “Finance and Productivity Growth: Firm-Level Evidence”. Journal of Monetary Economics. https://doi.org/10.1016/j.jmoneco.2019.11.009.

Levinson, M. (2018). “The Economist Guide to Financial Markets: Why they Exist and How They Work”. The Economist.

Lichtenberg, F. R. & De La Potterie, B. V. P. (1998). “International R&D Spillovers: a Comment”. European Economic Review, 42(8), 1483-1491.

Litterman, R. B. (1986). “Forecasting with Bayesian Vector Autoregressions—Five Years of Experience”. Journal of Business & Economic Statistic, 4(1), 25-38.

Luo, C., Fan, S. & Zhang, Q. (2017). “Investigating the Influence of Green Credit on Operational Efficiency and Financial Performance based On Hybrid Econometric Models”. International Journal of Financial Studies, 5(4), 27, https://doi.org/10.3390/ijfs5040027.

Madsen, J. B. (2008). “Semi-Endogenous Versus Schumpeterian Growth Models: Testing the Knowledge Production Function Using International Data”. Journal of Economic Growth, 13(1), 1–26.

Mankiw, N. G., Romer, D. & Weil, D. N. (1992). “A Contribution to the Empirics of Economic Growth”. The Quarterly Journal of Economics, 107(2), 407-437.

Mc Morrow, K., Röger, W. & Turrini, A. (2010). “Determinants of TFP Growth: A Close Look at Industries Driving the EU–US TFP Gap”. Structural Change and Economic Dynamics, 21(3), 165-180.

Menyah, K., Nazlioglu, S. & Wolde-Rufael, Y. (2014). “Financial Development, Trade Openness and Economic Growth in African Countries: New Insights from a Panel Causality Approach”. Economic Modelling, 37(C), 386-394.

Miglietta, A. & Venditti, F. (2019). “An Indicator of Macro-Financial Stress for Italy”. Bank of Italy Occasional Paper.

Njenga, C. N. & Sherris, M. (2020). “Modeling Mortality with a Bayesian Vector Autoregression. Insurance”. Mathematics and Economics, 94(5), 40-57.

Osei, M. J. & Kim, J. (2020). “Foreign Direct Investment and Economic Growth: Is More Financial Development Better”. Economic Modelling, 93(C), 154-161.

Polat, O. & Ozkan, I. (2019). “Transmission Mechanisms of Financial Stress into Economic Activity in Turkey”. Journal of Policy Modeling, 41(2), 395-415.

Queralto, A. (2020). “A Model of Slow Recoveries from Financial Crises”. Journal of Monetary Economics, 114(C), 1-25.

Romer, P. M. (1986). “Increasing Returns and Long-Run Growth”. Journal of Political Economy, 94(5), 1002-1037.

Scherngell, T., Borowiecki, M. & Hu, Y. (2014). “Effects of Knowledge Capital on Total Factor Productivity in China: A Spatial Econometric Perspective”. China Economic Review, 29(C), 82-94.

Schultz, T. W. (1960). “Capital Formation by Education”. Journal of Political Economy, 68(6), 571-583.

Stona, F., Morais, I. A. & Triches, D. (2018). “Economic Dynamics During Periods of Financial Stress: Evidences from Brazil”. International Review of Economics & Finance, 55(C), 130-144.

Solow, R. M. (1956). “A Contribution to Theory of Economic Growth”. Quartely Journal of Economics, 70(1), 65-94.

Xu, Y. & Li, A. (2020). “The Relationship between Innovative Human Capital and Interprovincial Economic Growth based on Panel Data Model and Spatial Econometrics”. Journal of Computational and Applied Mathematics, 365(3); https://doi.org/10.1016/j.cam.2019.112357.

Zubair, S., Kabir, R. & Huang, X. (2020). “Does the Financial Crisis Change the Effect of Financing on Investment? Evidence from Private SMEs”. Journal of Business Research, 110(5), 456-463.

Economic Growth and Development Research

Evaluating the Effects of Systemic Stress on Total Factor Productivity with Bayesian Approach: A Case Study of Iranian Economy

References

References

Volume 13, Issue 49
February 2023
Pages 32-13

Evaluating the Effects of Systemic Stress on Total Factor Productivity with Bayesian Approach: A Case Study of Iranian Economy

References

References

Volume 13, Issue 49February 2023Pages 32-13

Volume 13, Issue 49
February 2023
Pages 32-13