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The Effect of Monetary Policy and Banking Credits on Gross Domestic Product in Iran: A Threshold VAR Approach (in Persian)

Author

Listed:
  • Jafari Samimi, Ahmad

    (University of Mazandaran)

  • Gholami, Zeinab

    (University of Mazandaran)

  • ,

    (Iran)

  • ,

    (Iran)

Abstract

This paper using TVAR model and data from 1376Q1-1392Q4 examines the asymmetric impacts of monetary policy and banking credits on gross domestic Product in low and upper regimes in Iran Regarding the difference between the interest-free and conventional banking system and according to McCallum rule monetary base variable has been used as monetary policy index. In most studies about the nonlinear relationship between monetary policy and real economic activity threshold variables are about credit market condition, this paper instead of credit market conditions focuses on economic activity. Using R software the threshold vector autoregression model is estimated and generalized impulse response function are extracted. Results indicate that the impact of monetary policy and banking credits on GDP in low and upper regimes is completely different. In other words, the findings support the asymmetric impact of monetary policy and banking credits in Iran.

Suggested Citation

  • Jafari Samimi, Ahmad & Gholami, Zeinab & , & ,, 2016. "The Effect of Monetary Policy and Banking Credits on Gross Domestic Product in Iran: A Threshold VAR 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. 9(29), pages 373-404, October.
    • Handle: RePEc:mbr:jmbres:v:9:y:2016:i:29:p:373-404
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    More about this item

    JEL classification:

    • 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
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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