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Modelling Oil and Monetary Shocks in the Iranian Economy: The VECMX Approach (in Persian)

Author

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  • Zamanzadeh, Hamid

    (Iran)

Abstract

The goal of this paper is to analyze the effects of oil and money on operation of macro variables of Iranian economy in short and long-run. A macro model has been designed to show three long-run relationships that contains output¡ real money balance and purchasing power parity in a vector error correction model with exogenous variables. This model has been estimated based on seasonal data during 1367 to 1387. The results confirm three long-run relationships said in Iranian economy. The responses of macroeconomic variables to oil and monetary shocks analyzed based on estimated model and impulse response functions. JEL Classification: E50, C32

Suggested Citation

  • Zamanzadeh, Hamid, 2011. "Modelling Oil and Monetary Shocks in the Iranian Economy: The VECMX Approach (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 4(9), pages 91-116, December.
    • Handle: RePEc:mbr:jmbres:v:4:y:2011:i:9:p:91-116
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    More about this item

    Keywords

    Iranian Economy; Monetary Shock; Oil Shock; Vector Error Correction Model;
    All these keywords.

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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