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 : Quarterly Journal

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

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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